Package index • StableEstim

StableEstim overview

StableEstim-package: Stable law estimation functions

Estimation of stable laws

Estim(): Estimate parameters of stable laws

CgmmParametersEstim(): Estimate parameters of stable laws using a Cgmm method

GMMParametersEstim(): Estimate parameters of stable laws using a GMM method

IGParametersEstim(): Estimate parameters of stable laws by Kogon and McCulloch methods

KoutParametersEstim(): Iterative Koutrouvelis regression method

MLParametersEstim(): Maximum likelihood (ML) method

McCullochParametersEstim(): Quantile-based method

Estim_Simulation(): Monte Carlo simulation

get.abMat(): Default set of parameters to pass to Estim_Simulation

CF of stable distributions

ComplexCF(): Compute the characteristic function of stable laws

ComputeFirstRootRealeCF(): First root of the empirical characteristic function

jacobianComplexCF(): Jacobian of the characteristic function of stable laws

sampleComplexCFMoment(): Complex moment condition based on the characteristic function

sampleRealCFMoment(): Real moment condition based on the characteristic function

Regularisation and parameter tuning

RegularisedSol(): Regularised Inverse

IntegrateRandomVectorsProduct(): Integral outer product of random vectors

ComputeBest_t(): Monte Carlo simulation to investigate the optimal number of points to use in the moment conditions

ComputeBest_tau(): Run Monte Carlo simulation to investigate the optimal \(\tau\)

Classes

Best_t-class +,Best_t,Best_t-method initialize,Best_t-method show,Best_t-method: Class "Best_t"

Estim-class initialize,Estim-method show,Estim-method: Class "Estim"

Summaries

get.StatFcts(): Default functions used to produce the statistical summary

StatFcts: Default functions used to produce the statistical summary

TexSummary(): LaTeX summary

Other

expect_almost_equal(): Test approximate equality

ConcatFiles(): Concatenates output files.

ComputeStatObjectFromFiles(): Parse an output file to create a summary object (list)

ComputeDuration(): Duration

getTime_(): Read time

PrintDuration(): Print duration

PrintEstimatedRemainingTime(): Estimated remaining time