STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch

Szymon Borak and Rafał Weron

Statistical Software Components from Boston College Department of Economics

Abstract: STABLECULL returns the estimated parameters ALPHA, BETA, SIGMA, MU of a stable distribution vector. STABLECULL uses McCulloch's quantile method.

Language: MATLAB
Requires: MATLAB
Keywords: Stable distribution; Parameter estimation; Heavy tail; Quantile method (search for similar items in EconPapers)
Date: 2010-10-19
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