[R] estimation stable distribution parameters

[Jim Lindsey]

> 
> 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 is correct for the parametrisation used.

> 
> 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.
> 

It uses exact MLE with numerical precision set by the integration
(user specified). The methods to which you refer are all obsolete.
  Jim

> 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
> 
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