ufitstab.ustat: ufitstab.ustat

In alphastable: Inference for Stable Distribution

Description

estimates the tail index and scale parameters of a symmetric and zero-location stable distribution using U-statistic proposed by Fan (2006) <DOI: 10.1080/03610920500439992>.

Usage

ufitstab.ustat(x)

Arguments

x	vector of observations

Value

alpha	estimated value of the tail index parameter
sigma	estimated value of the scale parameter

Note

The ufitstab.ustat() must be applied to a symmetric and zero-location stable distribution.

Author(s)

Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah

References

Fan, Z. (2006). Parameter estimation of stable distributions, Communications in Statistics-Theory and Methods, 35(2), 245-255.

Examples

# We are estimating the parameters of a symmetric stable distribution. For this, firstly,
# we simulate a sample of n=100 iid realizations from stable distribution in S_1 parameterization
# with parameters alpha=1.2, beta=0, sigma=1, and mu=0.
x<-urstab(100,1.2,0,1,0,1)
ufitstab.ustat(x)

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