mrstab.elliptical: mrstab.elliptical
In alphastable: Inference for Stable Distribution

Description Usage Arguments Details Value Note Author(s) References Examples

View source: R/alphastable.R

generates iid realizations from d-dimensional elliptically contoured stable distribution, see Nolan (2013) <doi.org/10.1007/s00180-013-0396-7>.

1	mrstab.elliptical(n, alpha, Sigma, Mu)

`n`	sample size
`alpha`	tail index parameter
`Sigma`	`d` by `d` positive definite dispersion matrix
`Mu`	location vector in `R^d`

mrstab.elliptical() needs to install the mvtnorm package

an n by d matrix of numeric values

mrstab.elliptical() generates iid realizations from d-dimensional elliptically contoured stable distribution based on definitions given by Nolan (2013) and Samorodnitsky and Taqqu (1994)

Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah

Nolan. J. P. (2013). Multivariate elliptically contoured stable distributions: theory and estimation, Computational Statistics, 28(5), 2067-2089.

Samorodnitsky, G. and Taqqu, M. S. (1994). Stable Non-Gaussian Random Processes: Stochastic Models and Infinite Variance, Chapman and Hall, London.

# In the following example, we simulate n=200 iid vectors of a two-dimensional elliptically
# contoured stable distribution with parameters alpha=1.3, Sigma=matrix(c(1,.5,.5,1),2,2),
# and mu=(0,0)^T.
library("mvtnorm")
library("stabledist")
mrstab.elliptical(200,1.3,matrix(c(1,.5,.5,1),ncol=2,nrow=2),c(0,0))