Hi, I am wondering whether anyone of you already implemented in R or S+ the methods of estimation the parameters of stable distribution. If there is, i will be happy to get the copy of the codes. Regards Dedi
>>>>> "Dedi" == Dedi Rosadi <drosadi at server.eos.tuwien.ac.at> >>>>> on Thu, 05 Jun 2003 13:53:35 +0200 writes:Dedi> I am wondering whether anyone of you already Dedi> implemented in R or S+ the methods of estimation the Dedi> parameters of stable distribution. If there is, i will Dedi> be happy to get the copy of the codes. The "stable" package available from Jim Lindsey's "repository" is said to do even more. --> http://cran.r-project.org/ -> Software "Other" -- bottom of page Regards, Martin Maechler <maechler at stat.math.ethz.ch> http://stat.ethz.ch/~maechler/ Seminar fuer Statistik, ETH-Zentrum LEO C16 Leonhardstr. 27 ETH (Federal Inst. Technology) 8092 Zurich SWITZERLAND phone: x-41-1-632-3408 fax: ...-1228 <><
Dedi, There is a very useful package called "stable" by Philippe Lambert and Jim Lindsey at http://alpha.luc.ac.be/~jlindsey/rcode.html Look down that page to the "Probability functions and generalized regression models for stable distributions" identifier. And if you have not read it already, I highly recommend the paper Lambert, P. and Lindsey, J.K. (1999) Analysing financial returns using regression models based on non-symmetric stable distributions. Applied Statistics 48, 409-424. It helps out nicely with understanding the parameterization, etc. I have had good experiences using this package under Linux, but not so well under Windows. Hope that helps. Bill ---------------------------------------- Bill Pikounis, Ph.D. Biometrics Research Department Merck Research Laboratories> -----Original Message----- > From: Dedi Rosadi [mailto:drosadi at server.eos.tuwien.ac.at] > Sent: Thursday, June 05, 2003 7:54 AM > To: r-help at stat.math.ethz.ch > Subject: [R] estimation stable distribution parameters > > > Hi, > I am wondering whether anyone of you already implemented in R > or S+ the > methods of estimation the parameters of stable distribution. > If there is, i > will be happy to get the copy of the codes. > > Regards > Dedi > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://www.stat.math.ethz.ch/mailman/listinfo/r-help >------------------------------------------------------------------------------ Notice: This e-mail message, together with any attachments, cont... {{dropped}}
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 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. 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