STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams
Szymon Borak and
Rafał Weron
Statistical Software Components from Boston College Department of Economics
Abstract:
STABLEREGKW returns the estimated parameters ALPHA, BETA, SIGMA, MU of a stable distribution vector. STABLEREGKW uses the characteristic function regression method of S.M.Kogon, D.B.Williams (1998) "Characteristic Function Based Estimation of Stable Distribution Parameters", in "A Practical Guide to Heavy Tails: Statistical Techniques and Applications", R.J.Adler,R.E.Feldman, M.Taqqu eds., Birkhauser, Boston, 311-335.
Language: MATLAB
Requires: MATLAB
Keywords: Stable distribution; Parameter estimation; Heavy tail; Regression method; Characteristic function (search for similar items in EconPapers)
Date: 2010-10-19
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/s/stableregkw.m program file (text/plain)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:m429007
Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php
Access Statistics for this software item
More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().