mrstab {alphastable} | R Documentation |
generates iid
realizations from bivariate stable vectors using the methodology proposed by Modarres and Nolan (1994).
mrstab(n, m, alpha, Gamma, Mu)
n |
sample size |
m |
number of masses |
alpha |
tail index parameter |
Gamma |
vector of masses |
Mu |
location vector |
a vector of n
numeric values
mrstab()
assumes that masses are located at unit sphere with addresses s_j=(cos(2*pi(j-1)/m), sin(2*pi(j-1)/m))
; for j=1,...,4
.
Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah
Modarres, R. and Nolan, J. P. (1994). A method for simulating stable random vectors, Computational Statistics, 9(1), 11-19.
# We use the following command to simulate n=200 iid vectors from a two-dimensional stable # distribution with alpha=1.3, with a vector of 4 masses as gamma=(0.1,0.5,0.5,0.1)^T, # and mu=(0,0)^T. library("stabledist") mrstab(200,4,1.3,c(0.1,0.5,0.5,0.1),c(0,0))