mdstab.elliptical {alphastable} | R Documentation |
mdstab.elliptical
Description
computes the probability density function of a d
-dimensional elliptically contoured stable distribution at a given point in R^{d}
, see Teimouri et al. (2018).
Usage
mdstab.elliptical(x, alpha, Sigma, Mu)
Arguments
x |
vector of real values in |
alpha |
tail index parameter |
Sigma |
|
Mu |
location vector in |
Value
a numeric value
Note
mdstab.elliptical()
computes the probability density function of an d
-dimensional elliptically contoured stable distribution using either asymptotic series or Monte Carlo approximation.
Author(s)
Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah
References
Teimouri, M., Rezakhah, S., and Mohammadpour, A. (2018). Parameter estimation using the EM algorithm for symmetric stable random variables and sub-Gaussian random vectors, Journal of Statistical Theory and Applications, 17(3),1-20.
Examples
# In the following example, we compute the pdf of a two-dimensional elliptically contoured
# stable distribution with parameters alpha=1.3, Sigma=matrix(c(1,.5,.5,1),2,2), and mu=(0,0)^T.
library("stabledist")
mdstab.elliptical(c(5,5),1.2,matrix(c(1,0.5,0.5,1),2,2),c(0,0))