mrstab function

mrstab

generates iid realizations from bivariate stable vectors using the methodology proposed by Modarres and Nolan (1994).

mrstab(n, m, alpha, Gamma, Mu)

Arguments

• n: sample size
• m: number of masses
• alpha: tail index parameter
• Gamma: vector of masses
• Mu: location vector

Returns

a vector of n numeric values

References

Modarres, R. and Nolan, J. P. (1994). A method for simulating stable random vectors, Computational Statistics, 9(1), 11-19.

Author(s)

Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah

Note

mrstab() assumes that masses are located at unit sphere with addresses s_j=(cos(2*pi(j-1)/m), sin(2*pi(j-1)/m)); for j=1,...,4.

Examples

# We use the following command to simulate n=200 iid vectors from a two-dimensional stable
# distribution with alpha=1.3, with a vector of 4 masses as gamma=(0.1,0.5,0.5,0.1)^T,
# and mu=(0,0)^T.
library("stabledist")
mrstab(200,4,1.3,c(0.1,0.5,0.5,0.1),c(0,0))