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2003 Mar 25
1
Help : stablereg parameter interpretation
...d(1234)
# Simulate normal data with mean 5 and sd 2 using rstable> normal5.2<-rstable(10000,loc=5,disp=2/sqrt(2),skew=0,tail=2)
mean(normal5.2)
[1] 5.010073
sd(normal5.2)
[1] 2.005362
# summary(lm(normal5.2~1)) yields similar results
fittest<-stablereg(y=normal5.2,loc=~1,disp=~1,iloc=5,idisp=2/sqrt(2),iskew=0,itail=2,oskew=F,otail=F)
# Normal model, as skew=0 and tail=2
yields :
Call:
stablereg(y = normal5.2, loc = ~1, disp = ~1, iloc = 5, idisp = 2/sqrt(2),
iskew = 0, itail = 2, oskew = F, otail = F)
-Log likelihood 21498.69
No. of obs 10000
No....