urstab: urstab

In alphastable: Inference for Stable Distribution

Description

simulates iid realizations from univariate stable distribution based on formulas given by Chambers et al. (1976) <DOI: 10.1080/01621459.1976.10480344> and Weron (1996) <doi.org/10.1016/0167-7152(95)00113-1>.

Usage

urstab(n,alpha,beta,sigma,mu,param)

Arguments

n	sample size
alpha	tail index parameter
beta	skewness parameter
sigma	scale parameter
mu	location parameter
param	kind of parameterization must; be 0 or 1 for S_0 and S_1 parameterizations, respectively

Value

a vector of n numeric values

Author(s)

Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah

References

Chambers, J. M., Mallows, C. L., and Stuck, B. W. (1976). A method for simulating stable random variables, Journal of the american statistical association, 71(354), 340-344.

Weron, R. (1996). On the Chambers-Mallows-Stuck method for simulating skewed stable random variables, Statistics & probability letters, 28(2), 165-171.

Examples

# By the following example, we simulate n=200 iid realizations from univariate stable
# distribution with parameters alpha=1.2, beta=0.5, sigma=2, and mu=0 in S_0 parameterization.
x <- urstab(200, 1.2, 0.5, 2, 0, 0)

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