StableEstim

MaRDI QIDQ27932swMATHCRANFDO

Authors Georgi N. Boshnakov, Tarak Kharrat

Last update 9 December 2025

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 2.2, PACKAGES.rds, 1.0, 2.0, 2.1, 2.3, 2.4

Official website https://cran.r-project.org/web/packages/StableEstim/index.html

Source code repository https://github.com/cran/StableEstim

Description

Estimate the four parameters of stable laws using maximum likelihood method, generalised method of moments with finite and continuum number of points, iterative Koutrouvelis regression and Kogon-McCulloch method. The asymptotic properties of the estimators (covariance matrix, confidence intervals) are also provided.

Cited in

(5)

• Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations
• GEVStableGarch
• A characteristic function-based approach to approximate maximum likelihood estimation
• TempStable
• deforestable

This page was built for software: StableEstim