mrstab: mrstab

In alphastable: Inference for Stable Distribution

Description

generates iid realizations from bivariate stable vectors using the methodology proposed by Modarres and Nolan (1994).

Usage

mrstab(n, m, alpha, Gamma, Mu)

Arguments

n	sample size
m	number of masses
alpha	tail index parameter
Gamma	vector of masses
Mu	location vector

Value

a vector of n numeric values

Note

mrstab() assumes that masses are located at unit sphere with addresses s_j=(cos(2*pi(j-1)/m), sin(2*pi(j-1)/m)); for j=1,...,4.

Author(s)

Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah

References

Modarres, R. and Nolan, J. P. (1994). A method for simulating stable random vectors, Computational Statistics, 9(1), 11-19.

Examples

# We use the following command to simulate n=200 iid vectors from a two-dimensional stable
# distribution with alpha=1.3, with a vector of 4 masses as gamma=(0.1,0.5,0.5,0.1)^T,
# and mu=(0,0)^T.
library("stabledist")
mrstab(200,4,1.3,c(0.1,0.5,0.5,0.1),c(0,0))

alphastable documentation built on Sept. 11, 2019, 1:04 a.m.