compute_quantile_ratios

This function calculates four key ratios used in McCulloch's method for
estimating stable distribution parameters:
- v_alpha: shape indicator
- v_beta: skewness indicator
- v_gamma: scale proxy
- v_delta: location proxy

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

compute_quantile_ratios function

<dl><dt>X</dt>
<dd>Numeric vector of sample data.</dd></dl>

Arguments

Compute McCulloch quantile ratios from sample data — compute_quantile_ratios

<dl>

<dt>X</dt>
<dd>Numeric vector of sample data.</dd>

</dl>

compute_quantile_ratios: Compute McCulloch quantile ratios from sample data

Description

Usage

Value

Arguments