alphastable (version 0.2.1)

ufitstab.ustat: ufitstab.ustat

Description

estimates the tail index and scale parameters of a symmetric and zero-location stable distribution using U-statistic proposed by Fan (2006) <DOI: 10.1080/03610920500439992>.

Usage

ufitstab.ustat(x)

Arguments

x

vector of observations

Value

alpha

estimated value of the tail index parameter

sigma

estimated value of the scale parameter

References

Fan, Z. (2006). Parameter estimation of stable distributions, Communications in Statistics-Theory and Methods, 35(2), 245-255.

Examples

# NOT RUN {
# We are estimating the parameters of a symmetric stable distribution. For this, firstly,
# we simulate a sample of n=100 iid realizations from stable distribution in S_1 parameterization
# with parameters alpha=1.2, beta=0, sigma=1, and mu=0.
x<-urstab(100,1.2,0,1,0,1)
ufitstab.ustat(x)
# }