alphastable (version 0.2.1)

ufitstab.sym: ufitstab.sym

Description

estimates the parameters of a symmetric stable distribution through the EM algorithm, see Teimouri et al. (2018).

Usage

ufitstab.sym(yy, alpha0, sigma0, mu0)

Arguments

yy

a vector of observations

alpha0

initial value for the tail index parameter

sigma0

initial values for the scale parameter

mu0

initial values for the location parameter

Value

alpha

estimated value of the tail index parameter

sigma

estimated value of the scale parameter

mu

estimated value of the location parameter

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 {
# By the following example, we apply the EM algorithm to n=50 iid realization of symmetric
# stable distribution with parameters alpha=1.2, sigma=1, and mu=1. The initial values
# are alpha_0=1.2, sigma_0=1, and mu_0=1.
library("stabledist")
y<-urstab(50,1.2,0,1,1,0)
# }
# NOT RUN {
ufitstab.sym(y,1.2,1,1)
# }