https://github.com/geobosh/stableestim

R package for estimation of the four parameters of stable distributions. The package also provides functions to compute characteristic functions and tools to run Monte Carlo simulations.
https://github.com/geobosh/stableestim

characteristic-functions estimation r r-package simulation stable-distribution

Last synced: about 1 month ago
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R package for estimation of the four parameters of stable distributions. The package also provides functions to compute characteristic functions and tools to run Monte Carlo simulations.

• Host: GitHub
• URL: https://github.com/geobosh/stableestim
• Owner: GeoBosh
• Created: 2019-06-15T09:51:18.000Z (over 5 years ago)
• Default Branch: master
• Last Pushed: 2022-08-07T09:04:07.000Z (over 2 years ago)
• Last Synced: 2024-05-09T22:18:16.627Z (6 months ago)
• Topics: characteristic-functions, estimation, r, r-package, simulation, stable-distribution
• Language: R
• Homepage: https://geobosh.github.io/StableEstim/
• Size: 353 KB
• Stars: 0
• Watchers: 2
• Forks: 1
• Open Issues: 1
• Metadata Files:
  • Readme: README.md

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README

        

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# Installing StableEstim

The [latest stable version](https://cran.r-project.org/package=StableEstim) is on

CRAN.

    install.packages("StableEstim")

You can install the [development version](https://github.com/GeoBosh/StableEstim) of

`StableEstim` from Github:

    library(devtools)

    install_github("GeoBosh/StableEstim")

# Overview

A collection of methods to estimate the four parameters of stable

distributions. The package also provides functions to compute

characteristic functions and tools to run Monte Carlo simulations.

The main functions of package `StableEstim` are briefly described below:

* main function: `Estim()` estimates the parameters by various

  methods. Also gives the associated asymptotic properties of the

  estimators.

* estimation functions for specific methods: these functions are called by `Estim()` but can be used directly, as well. The methods provided so far are:

  - the maximum-likelihood (`MLParametersEstim()`),

  - the generalised method of moments with a finite (`GMMParametersEstim()`)

    or continuum moment conditions (`CgmmParametersEstim()`),

  - the iterative Koutrouvelis regression method

    (`KoutParametersEstim()`),

  - the fast Kogon-McCulloch method used for first guess estimation

    (`IGParametersEstim`).

      

* characteristic function: the characteristic function (`ComplexCF()`)

  and its Jacobian (`jacobianComplexCF()`) can be computed and will

  return a vector (respectively a matrix) of complex numbers.

* Monte Carlo simulation: a tool to run a Monte Carlo simulation

  (`Estim_Simulation()`) is provided and can save output files and/or

  produce statistical summary.

The package is developed by Tarak Kharrat and Georgi N.Boshnakov.