alphastable (version 0.2.1)

mrstab.elliptical: mrstab.elliptical

Description

generates iid realizations from d-dimensional elliptically contoured stable distribution, see Nolan (2013) <doi.org/10.1007/s00180-013-0396-7>.

Usage

mrstab.elliptical(n, alpha, Sigma, Mu)

Arguments

n

sample size

alpha

tail index parameter

Sigma

d by d positive definite dispersion matrix

Mu

location vector in R^d

Value

an n by d matrix of numeric values

Details

mrstab.elliptical() needs to install the mvtnorm package

References

Nolan. J. P. (2013). Multivariate elliptically contoured stable distributions: theory and estimation, Computational Statistics, 28(5), 2067-2089.

Samorodnitsky, G. and Taqqu, M. S. (1994). Stable Non-Gaussian Random Processes: Stochastic Models and Infinite Variance, Chapman and Hall, London.

Examples

# NOT RUN {
# In the following example, we simulate n=200 iid vectors 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("mvtnorm")
library("stabledist")
mrstab.elliptical(200,1.3,matrix(c(1,.5,.5,1),ncol=2,nrow=2),c(0,0))
# }