[R] estimation stable distribution parameters

[Pikounis, Bill]

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
> 

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