generate_alpha_stable_mixture

Simulates samples from a mixture of alpha-stable distributions using specified parameters.

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

generate_alpha_stable_mixture function

<dl><dt>weights</dt>
<dd>Numeric vector of mixture weights.</dd>
<dt>alphas</dt>
<dd>Numeric vector of alpha parameters.</dd>
<dt>betas</dt>
<dd>Numeric vector of beta parameters.</dd>
<dt>gammas</dt>
<dd>Numeric vector of gamma parameters.</dd>
<dt>deltas</dt>
<dd>Numeric vector of delta parameters.</dd>
<dt>size</dt>
<dd>Integer. Number of samples to generate.</dd></dl>

Arguments

Generate samples from a predefined alpha-stable mixture — generate_alpha_stable_mixture

<dl>

<dt>weights</dt>
<dd>Numeric vector of mixture weights.</dd>


<dt>alphas</dt>
<dd>Numeric vector of alpha parameters.</dd>


<dt>betas</dt>
<dd>Numeric vector of beta parameters.</dd>


<dt>gammas</dt>
<dd>Numeric vector of gamma parameters.</dd>


<dt>deltas</dt>
<dd>Numeric vector of delta parameters.</dd>


<dt>size</dt>
<dd>Integer. Number of samples to generate.</dd>

</dl>

generate_alpha_stable_mixture: Generate samples from a predefined alpha-stable mixture

Description

Usage

Value

Arguments