rstable

Generate random samples from stable distribution

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

rstable function

<dl><dt>n</dt>
<dd>Number of samples.</dd>
<dt>alpha</dt>
<dd>Stability parameter (0,2].</dd>
<dt>beta</dt>
<dd>Skewness parameter [-1,1].</dd>
<dt>gamma</dt>
<dd>Scale (&gt;0).</dd>
<dt>delta</dt>
<dd>Location.</dd>
<dt>pm</dt>
<dd>Parameterization (0 or 1).</dd></dl>

Arguments

Generate random samples from stable distribution — rstable

<dl>

<dt>n</dt>
<dd>Number of samples.</dd>


<dt>alpha</dt>
<dd>Stability parameter (0,2].</dd>


<dt>beta</dt>
<dd>Skewness parameter [-1,1].</dd>


<dt>gamma</dt>
<dd>Scale (&gt;0).</dd>


<dt>delta</dt>
<dd>Location.</dd>


<dt>pm</dt>
<dd>Parameterization (0 or 1).</dd>

</dl>

rstable: Generate random samples from stable distribution

Description

Usage

Value

Arguments