Linear Regression with the Stable Distribution
AIC.stabreg
predict.stabreg
print.stabreg
Generalized linear-model fitting with Stable residuals
Linear-model fitting with Stable residuals
Fit a stable distribution to a sample using maximum likelihood
Compute values of a (normalized) stable density
Efficient regression for heavy-tailed and skewed data following a stable distribution. Generalized regression where the skewness and tail parameter of residuals are dependent on regressors is also available. Includes fast calculation of stable densities. Calculation of densities is based on efficient numerical methods from Ament and O'Neil (2017) <doi:10.1007/s11222-017-9725-y>. Parts of the code have been ported to C from Ament's 'Matlab' code available at <https://gitlab.com/s_ament/qastable>.