evaluate_estimation_method

Computes the mean squared error (MSE) of a parameter estimation function over several trials.

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

evaluate_estimation_method function

<dl><dt>estimator_fn</dt>
<dd>Function. Estimation function to evaluate.</dd>
<dt>true_params</dt>
<dd>List. True parameters: alpha, beta, gamma, delta.</dd>
<dt>n</dt>
<dd>Integer. Number of samples per trial.</dd>
<dt>trials</dt>
<dd>Integer. Number of trials to run.</dd>
<dt>seed</dt>
<dd>Integer. Random seed for reproducibility.</dd></dl>

Arguments

Evaluate estimation method using MSE over multiple trials — evaluate_estimation_method

<dl>

<dt>estimator_fn</dt>
<dd>Function. Estimation function to evaluate.</dd>


<dt>true_params</dt>
<dd>List. True parameters: alpha, beta, gamma, delta.</dd>


<dt>n</dt>
<dd>Integer. Number of samples per trial.</dd>


<dt>trials</dt>
<dd>Integer. Number of trials to run.</dd>


<dt>seed</dt>
<dd>Integer. Random seed for reproducibility.</dd>

</dl>

evaluate_estimation_method: Evaluate estimation method using MSE over multiple trials

Description

Usage

Value

Arguments