libstable4u (version 1.0.3)

stable_q: Quantile function of skew stable distributions

Description

Evaluate the quantile function (CDF^-1) of the skew stable distribution with parameters pars = c(alpha, beta, sigma, mu) at the points given in p.

parametrization argument specifies the parametrization used for the distribution as described by JP Nolan (1997). The default value is parametrization = 0.

tol sets the relative error tolerance (precission) to tol. The default value is tol = 1e-12.

Usage

stable_q(p, pars, parametrization = 0L, tol = 1e-12)

Value

A numeric vector.

Arguments

p

Vector of points where the quantile function will be evaluated, with 0 < p[i] < 1.0

pars

Vector with an initial estimation of the parameters. pars_init = c(alpha, beta, sigma, mu), where

• alpha: shape / stability parameter, with 0 < alpha <= 2.

• beta: skewness parameter, with -1 <= beta <= 1.

• sigma: scale parameter, with 0 < sigma.

• mu: location parameter, with mu real.

parametrization

Parametrization used for the skew stable distribution, as defined by JP Nolan (1997). By default, parametrization = 0.

tol

Relative error tolerance (precission) of the calculated values. By default, tol = 1e-12.

Author

Javier Royuela del Val, Federico Simmross Wattenberg and Carlos Alberola López

Maintainer: Javier Royuela del Val