Estimate the Four Parameters of Stable Laws using Different Methods


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Documentation for package ‘StableEstim’ version 2.1

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StableEstim-package stable law estimation functions
+-method Class '"Best_t"'
Best_t-class Class '"Best_t"'
CgmmParametersEstim The generalised method of moment with a continuum of moment conditions
ComplexCF The characteristic function of the stable law
ComputeBest_t Monte Carlo Simulation to investigate the optimal number of points to use in the moment conditions.
ComputeBest_tau Runs Monte Carlo Simulation to investigate the optimal tau.
ComputeDuration Duration
ComputeFirstRootRealeCF first root of the empirical characteristic function.
ComputeStatObjectFromFiles parse an output file to create a summary object ('list').
ConcatFiles Concatenates output files.
Estim Main estimation function
Estim-class Class '"Estim"'
Estim_Simulation Monte Carlo Simulation
expect_almost_equal test approximate equality
get.abMat Default set of parameters to pass to the 'Estim_Simulation'.
get.StatFcts Default functions used to produce the statistical summmary.
getTime_ read time.
GMMParametersEstim generalised method of moment with finite number of moment conditions
IGParametersEstim Kogon regression method + McCulloch quantile method.
initialize-method Class '"Best_t"'
initialize-method Class '"Estim"'
IntegrateRandomVectorsProduct Integrate Ranndom vectors product
jacobianComplexCF Jacobian of the characteristic function of the stable law.
KoutParametersEstim Iterative Koutrouvelis regression method
McCullochParametersEstim quantile-based method.
MLParametersEstim Maximum likelihood (ML) method.
PrintDuration print duration
PrintEstimatedRemainingTime Estimated Remaining Time
RegularisedSol Regularised Inverse
sampleComplexCFMoment Complex moment condition based on the characteristic function.
sampleRealCFMoment Real moment condition based on the characteristic function.
show-method Class '"Best_t"'
show-method Class '"Estim"'
StatFcts Default functions used to produce the statistical summmary.
TexSummary LaTex summary.