FitStable {PRTest}R Documentation

Fit parameters to stable distribution

Description

The quantile method of McCullogh

Usage

FitStable(x)

Arguments

x vector of data

Details

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.

Value

A vector with named components alpha, beta, scale and location corresponding to the parameters alpha, beta, gamma and delta used in the fBasics package.

Note

Uses internal functions Mcalpha, Mcbeta, Mcmu and Mcsigma as well as tables MCTable3, MCTable4, MCTable5 and MCTable7.

Author(s)

A.I. McLeod

References

J. H. McCulloch (1986), Simple consistent estimator of stable distribution parameters. Commun. Statist.–Simula., 15(4), 1109-1136.

See Also

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.

Examples

data(DEXCAUS)
FitStable(Returns(DEXCAUS))

[Package PRTest version 1.0 Index]