FitStable {PRTest} | R Documentation |
The quantile method of McCullogh
FitStable(x)
x |
vector of data |
The quantile estimation method of McCulloch (1986) is used. It is highly reliable, fast and reasonably efficient especially bearing in mind that in most applications there is a lot of data.
A vector with named components alpha, beta, scale and location corresponding to the parameters alpha, beta, gamma and delta used in the fBasics package.
Uses internal functions Mcalpha, Mcbeta, Mcmu and Mcsigma as well as tables MCTable3, MCTable4, MCTable5 and MCTable7.
A.I. McLeod
J. H. McCulloch (1986), Simple consistent estimator of stable distribution parameters. Commun. Statist.–Simula., 15(4), 1109-1136.
There is also a function stableFit in the fBasics package for fitting stable distributions but it does not work very well. This is the reason for FitStable.
data(DEXCAUS) FitStable(Returns(DEXCAUS))