compare_estimators_on_simulations

Runs multiple simulations and compares the mean squared error (MSE) of parameter estimates
from MLE, kernel ECF, and McCulloch methods.

Provides various functions for parameter estimation of one-dimensional
stable distributions and their mixtures. It implements a diverse set of
estimation methods, including quantile-based approaches, regression methods
based on the empirical characteristic function (empirical, kernel, and
recursive), and maximum likelihood estimation. For mixture models, it provides
stochastic expectation–maximization (SEM) algorithms and Bayesian estimation
methods using sampling and importance sampling to overcome the long burn-in
period of Markov Chain Monte Carlo (MCMC) strategies. The package also includes
tools and statistical tests for analyzing whether a dataset follows a stable
distribution. Some of the implemented methods are described in
Hajjaji, O., Manou-Abi, S. M., and Slaoui, Y. (2024) <doi:10.1080/02664763.2024.2434627>.

Solym Manou-Abi

MixStable

Parameter Estimation for Stable Distributions and Their Mixtures

Adam Najib

Yousri Slaoui

compare_estimators_on_simulations function

<dl><dt>n_samples</dt>
<dd>Integer. Number of samples per simulation.</dd>
<dt>n_runs</dt>
<dd>Integer. Number of simulation runs.</dd>
<dt>interp_alpha</dt>
<dd>Optional interpolation function for alpha (McCulloch).</dd>
<dt>interp_beta</dt>
<dd>Optional interpolation function for beta (McCulloch).</dd></dl>

Arguments

Compare MLE, ECF, and McCulloch estimators on simulated data — compare_estimators_on_simulations

<dl>

<dt>n_samples</dt>
<dd>Integer. Number of samples per simulation.</dd>


<dt>n_runs</dt>
<dd>Integer. Number of simulation runs.</dd>


<dt>interp_alpha</dt>
<dd>Optional interpolation function for alpha (McCulloch).</dd>


<dt>interp_beta</dt>
<dd>Optional interpolation function for beta (McCulloch).</dd>

</dl>

compare_estimators_on_simulations: Compare MLE, ECF, and McCulloch estimators on simulated data

Description

Usage

Value

Arguments