alphastable (version 0.2.1)

mdstab.elliptical: mdstab.elliptical

Description

computes the probability density function of a d-dimensional elliptically contoured stable distribution at a given point in R^{d}, see Teimouri et al. (2018).

Usage

mdstab.elliptical(x, alpha, Sigma, Mu)

Arguments

x

vector of real values in R^d

alpha

tail index parameter

Sigma

d by d positive definite dispersion matrix

Mu

location vector in R^d

Value

a numeric value

References

Teimouri, M., Rezakhah, S., and Mohammadpour, A. (2018). Parameter estimation using the EM algorithm for symmetric stable random variables and sub-Gaussian random vectors, Journal of Statistical Theory and Applications, 17(3),1-20.

Examples

# NOT RUN {
# In the following example, we compute the pdf of a two-dimensional elliptically contoured
# stable distribution with parameters alpha=1.3, Sigma=matrix(c(1,.5,.5,1),2,2), and mu=(0,0)^T.
library("stabledist")
mdstab.elliptical(c(5,5),1.2,matrix(c(1,0.5,0.5,1),2,2),c(0,0))
# }