Description Usage Arguments Value Note Author(s) References Examples
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>.
1 |
x |
vector of observations |
alpha |
estimated value of the tail index parameter |
sigma |
estimated value of the scale parameter |
The ufitstab.ustat()
must be applied to a symmetric and zero-location stable distribution.
Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah
Fan, Z. (2006). Parameter estimation of stable distributions, Communications in Statistics-Theory and Methods, 35(2), 245-255.
1 2 3 4 5 | # 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)
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