> > Hi, > This just repetition of my mail, so please apologize me if you receive it > twice. > > I am wondering whether anyone of you already implemented in R or S+ the > methods of estimation the parameters of stable distribution (especially the > iid case). If there is, i will be happy to get the copy of the codes. > > Some R-users referred me to the package stable (thanks M. Maechler and B. > Pikounis), but i think it does not give the answer to my question. Probably > i can use function stablereg in the package, but after read the explanation > of the function, i am totally confused with the result reported. Simply > applying what they shown in the example in the help for this function, for > example check for the line after > > #Stable model with loc(ation)=loc.h(b0+b1*day) > > i got result of skewness estimate as -2.05 which is an incorrect thing > (? i am not sure, probably my interpretation is wrong)
It is correct for the parametrisation used. > > It looks like they implemented the method of estimation for regression > model based on approximate / conditional maximum likelihood (I didn't check > their codes yet, and also until now i can not get the referred paper). I > intended to see the accuracy of the other estimation procedures e.g. the > method of quantile's of McCulloch or the method based on ECF. Some > colleagues referring me to Xplore, where Weron has implement the methods > using the languange Xplore, however it is inaccessible for public. > It uses exact MLE with numerical precision set by the integration (user specified). The methods to which you refer are all obsolete. Jim > Please let me know if any body has any clues to my question. Otherwise, i > have to start writing my own codes > > Regards > Dedi t > > ______________________________________________ > [EMAIL PROTECTED] mailing list > https://www.stat.math.ethz.ch/mailman/listinfo/r-help > ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help
