Estimate the Four Parameters of Stable Laws using Different Methods
Class "Best_t"
Estimate parameters of stable laws using a Cgmm method
Compute the characteristic function of stable laws
Monte Carlo simulation to investigate the optimal number of points to ...
Run Monte Carlo simulation to investigate the optimal
Duration
First root of the empirical characteristic function
Parse an output file to create a summary object (list)
Concatenates output files.
Monte Carlo simulation
Class "Estim"
Estimate parameters of stable laws
Test approximate equality
Default set of parameters to pass to Estim_Simulation
Default functions used to produce the statistical summary
Read time
Estimate parameters of stable laws using a GMM method
Estimate parameters of stable laws by Kogon and McCulloch methods
Integral outer product of random vectors
Jacobian of the characteristic function of stable laws
Iterative Koutrouvelis regression method
Quantile-based method
Maximum likelihood (ML) method
Print duration
Estimated remaining time
Regularised Inverse
Complex moment condition based on the characteristic function
Real moment condition based on the characteristic function
Objects exported from other packages
Stable law estimation functions
Default functions used to produce the statistical summary
LaTeX summary
Estimate the four parameters of stable laws using maximum likelihood method, generalised method of moments with finite and continuum number of points, iterative Koutrouvelis regression and Kogon-McCulloch method. The asymptotic properties of the estimators (covariance matrix, confidence intervals) are also provided.
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