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The latest stable version is on CRAN.
install.packages("StableEstim")You can install the development version of
StableEstim from Github:
library(devtools)
install_github("GeoBosh/StableEstim")A collection of methods to estimate the four parameters of stable distributions. The package also provides functions to compute characteristic functions and tools to run Monte Carlo simulations.
The main functions of package StableEstim are briefly
described below:
main function: Estim() estimates the parameters by
various methods. Also gives the associated asymptotic properties of the
estimators.
estimation functions for specific methods: these functions are
called by Estim() but can be used directly, as well. The
methods provided so far are:
the maximum-likelihood
(MLParametersEstim()),
the generalised method of moments with a finite
(GMMParametersEstim()) or continuum moment conditions
(CgmmParametersEstim()),
the iterative Koutrouvelis regression method
(KoutParametersEstim()),
the fast Kogon-McCulloch method used for first guess estimation
(IGParametersEstim).
characteristic function: the characteristic function
(ComplexCF()) and its Jacobian
(jacobianComplexCF()) can be computed and will return a
vector (respectively a matrix) of complex numbers.
Monte Carlo simulation: a tool to run a Monte Carlo simulation
(Estim_Simulation()) is provided and can save output files
and/or produce statistical summary.
The package is developed by Tarak Kharrat and Georgi N.Boshnakov.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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