mrstab.elliptical function

mrstab.elliptical

generates iid realizations from d-dimensional elliptically contoured stable distribution, see Nolan (2013) <doi.org/10.1007/s00180-013-0396-7>.

mrstab.elliptical(n, alpha, Sigma, Mu)

Arguments

• n: sample size
• alpha: tail index parameter
• Sigma: d by d positive definite dispersion matrix
• Mu: location vector in R^d

Details

mrstab.elliptical() needs to install the mvtnorm package

Returns

an n by d matrix of numeric values

References

Nolan. J. P. (2013). Multivariate elliptically contoured stable distributions: theory and estimation, Computational Statistics, 28(5), 2067-2089.

Samorodnitsky, G. and Taqqu, M. S. (1994). Stable Non-Gaussian Random Processes: Stochastic Models and Infinite Variance, Chapman and Hall, London.

Author(s)

Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah

Note

mrstab.elliptical() generates iid realizations from d-dimensional elliptically contoured stable distribution based on definitions given by Nolan (2013) and Samorodnitsky and Taqqu (1994)

Examples

# In the following example, we simulate n=200 iid vectors of a two-dimensional elliptically
# contoured stable distribution with parameters alpha=1.3, Sigma=matrix(c(1,.5,.5,1),2,2),
# and mu=(0,0)^T.
library("mvtnorm")
library("stabledist")
mrstab.elliptical(200,1.3,matrix(c(1,.5,.5,1),ncol=2,nrow=2),c(0,0))