StableEstim: Estimate the 4 parameters of stable law using different methods

Tarak Kharrat; Georgi N. Boshnakov

StableEstim: Estimate the 4 parameters of stable law using different methods

Research output: Preprint/Working paper › Working paper

Abstract

Estimate the four parameters of stable laws using maximum
likelihood method, generalised method of moments with
finite and continuum number of points, iterative
Koutrouvelis regression and Kogon-McCulloch method. The
asymptotic properties of the estimators (covariance
matrix, confidence intervals) are also provided.

Original language	English
Publisher	CRAN (Comprehensive R Archive Network)
Publication status	Published - 2016

Keywords

software

Access to Document

https://CRAN.R-project.org/package=StableEstim

Cite this

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title = "StableEstim: Estimate the 4 parameters of stable law using different methods",

abstract = "Estimate the four parameters of stable laws using maximum likelihood method, generalised method of moments with finite and continuum number of points, iterative Koutrouvelis regression and Kogon-McCulloch method. The asymptotic properties of the estimators (covariance matrix, confidence intervals) are also provided. ",

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author = "Tarak Kharrat and Boshnakov, \{Georgi N.\}",

note = "R package version 2.1",

year = "2016",

language = "English",

publisher = "CRAN (Comprehensive R Archive Network)",

address = "United States",

type = "WorkingPaper",

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TY - UNPB

T1 - StableEstim: Estimate the 4 parameters of stable law using different methods

AU - Kharrat, Tarak

AU - Boshnakov, Georgi N.

N1 - R package version 2.1

PY - 2016

Y1 - 2016

N2 - Estimate the four parameters of stable laws using maximum likelihood method, generalised method of moments with finite and continuum number of points, iterative Koutrouvelis regression and Kogon-McCulloch method. The asymptotic properties of the estimators (covariance matrix, confidence intervals) are also provided.

AB - Estimate the four parameters of stable laws using maximum likelihood method, generalised method of moments with finite and continuum number of points, iterative Koutrouvelis regression and Kogon-McCulloch method. The asymptotic properties of the estimators (covariance matrix, confidence intervals) are also provided.

KW - software

M3 - Working paper

BT - StableEstim: Estimate the 4 parameters of stable law using different methods

PB - CRAN (Comprehensive R Archive Network)

ER -

StableEstim: Estimate the 4 parameters of stable law using different methods

Abstract

Keywords

Access to Document

Fingerprint

Cite this