
It computes the theoretical characteristic function of a stable distribution for two different parametrizations. It is used in the vignette to illustrate the estimation of the parameters using GMM.
charStable(theta, tau, pm = 0)
It returns a vector of complex numbers with the dimension equals to length(tau)
.
Vector of parameters of the stable distribution. See details.
A vector of numbers at which the function is evaluated.
The type of parametization. It takes the values 0 or 1.
The function returns the vector pm
is the type of parametrization. The vector of parameters are the characteristic exponent, the skewness, the scale and the location parameters, respectively. The restrictions on the parameters are:
Nolan J. P. (2020), Univariate Stable Distributions - Models for Heavy Tailed Data. Springer Series in Operations Research and Financial Engineering. URL https://edspace.american.edu/jpnolan/stable/.
# GMM is like GLS for linear models without endogeneity problems
pm <- 0
theta <- c(1.5,.5,1,0)
tau <- seq(-3, 3, length.out = 20)
char_fct <- charStable(theta, tau, pm)
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