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

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