libstableR: LibstableR: Fast and accurate evaluation, random number...

In libstableR: Fast and Accurate Evaluation, Random Number Generation and Parameter Estimation of Skew Stable Distributions

Description

LibstableR provides functions to work with skew stable distributions in a fast and accurate way [1]. It performs:

Details

• Fast and accurate evaluation of the probability density function (PDF) and cumulative density function (CDF).

• Fast and accurate evaluation of the quantile function (CDF^-1).

• Random numbers generation [2].

• Skew stable parameter estimation with:

  • McCulloch's method of quantiles [3].

  • Koutrouvellis' method based on the characteristic function [4].

  • Maximum likelihood estimation.

  • Modified maximum likelihood estimation as described in [1]. *The evaluation of the PDF and CDF is based on the formulas provided by John P Nolan in [5].

Author(s)

Javier Royuela del Val, Federico Simmross Wattenberg and Carlos Alberola López;

Maintainer: Javier Royuela del Val [e-mail]

References

• [1] Royuela-del-Val J, Simmross-Wattenberg F, Alberola López C (2017). libstable: Fast, Parallel and High-Precision Computation of alpha-stable Distributions in R, C/C++ and MATLAB. Journal of Statistical Software, 78(1), 1-25. doi:10.18637/jss.v078.i01

• [2] Chambers JM, Mallows CL, Stuck BW (1976). A Method for Simulating Stable Random Variables. Journal of the American Statistical Association, 71(354), 340-344. doi:10.1080/01621459.1976.10480344

• [3] McCulloch JH (1986). Simple Consistent Estimators of Stable Distribution Parameters. Communications in Statistics - Simulation and Computation, 15(4), 1109-1136. doi:10.1080/03610918608812563

• [4] Koutrouvelis IA (1981). An Iterative Procedure for the Estimation of the Parameters of Stable Laws. Communications in Statistics - Simulation and Computation, 10(1), 17-28. doi:10.1080/03610918108812189

• [5] Nolan JP (1997). Numerical Calculation of Stable Densities and Distribution Functions. Stochastic Models, 13(4), 759-774. doi:10.1080/15326349708807450

Examples

# Set alpha, beta, sigma and mu stable parameters in a vector
pars <- c(1.5, 0.9, 1, 0)

# Generate an abscissas axis and probabilities vector
x <- seq(-5, 10, 0.05)
p <- seq(0.01, 0.99, 0.01)

# Calculate pdf, cdf and quantiles
pdf <- stable_pdf(x, pars)
cdf <- stable_cdf(x, pars)
xq  <- stable_q(p, pars)

# Generate 300 random values
rnd <- stable_rnd(300, pars)

# Estimate the parameters of the skew stable distribution given
# the generated sample:

# Using the McCulloch's estimator:
pars_est_M <- stable_fit_init(rnd)

# Using the Koutrouvelis' estimator:
pars_est_K <- stable_fit_koutrouvelis(rnd, pars_est_M)

# Using maximum likelihood estimator, with McCulloch estimation
# as a starting point:
# pars_est_ML <- stable_fit_mle(rnd, pars_est_M)

# Using modified maximum likelihood estimator (See [1]):
# pars_est_ML2 <- stable_fit_mle2d(rnd, pars_est_M)

libstableR documentation built on May 2, 2019, 8:49 a.m.