mrstab.elliptical {alphastable}

mrstab.elliptical

Description

generates iid realizations from d-dimensional elliptically contoured stable distribution, see Nolan (2013) <doi.org/10.1007/s00180-013-0396-7>.

Usage

mrstab.elliptical(n, alpha, Sigma, Mu)

Arguments

n

sample size

alpha

tail index parameter

Sigma

d by d positive definite dispersion matrix

Mu

location vector in R^d

Details

mrstab.elliptical() needs to install the mvtnorm package

Value

an n by d matrix of numeric values

Note

mrstab.elliptical() generates iid realizations from d-dimensional elliptically contoured stable distribution based on definitions given by Nolan (2013) and Samorodnitsky and Taqqu (1994)

Author(s)

Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah

References

Nolan. J. P. (2013). Multivariate elliptically contoured stable distributions: theory and estimation, Computational Statistics, 28(5), 2067-2089.

Samorodnitsky, G. and Taqqu, M. S. (1994). Stable Non-Gaussian Random Processes: Stochastic Models and Infinite Variance, Chapman and Hall, London.

Examples

# In the following example, we simulate n=200 iid vectors 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("mvtnorm")
library("stabledist")
mrstab.elliptical(200,1.3,matrix(c(1,.5,.5,1),ncol=2,nrow=2),c(0,0))