urstab {alphastable} | R Documentation |
urstab
Description
simulates iid
realizations from univariate stable distribution based on formulas given by Chambers et al. (1976) <DOI: 10.1080/01621459.1976.10480344> and Weron (1996) <doi.org/10.1016/0167-7152(95)00113-1>.
Usage
urstab(n,alpha,beta,sigma,mu,param)
Arguments
n |
sample size |
alpha |
tail index parameter |
beta |
skewness parameter |
sigma |
scale parameter |
mu |
location parameter |
param |
kind of parameterization must; be 0 or 1 for |
Value
a vector of n
numeric values
Author(s)
Mahdi Teimouri, Adel Mohammadpour, and Saralees Nadarajah
References
Chambers, J. M., Mallows, C. L., and Stuck, B. W. (1976). A method for simulating stable random variables, Journal of the american statistical association, 71(354), 340-344.
Weron, R. (1996). On the Chambers-Mallows-Stuck method for simulating skewed stable random variables, Statistics & probability letters, 28(2), 165-171.
Examples
# By the following example, we simulate n=200 iid realizations from univariate stable
# distribution with parameters alpha=1.2, beta=0.5, sigma=2, and mu=0 in S_0 parameterization.
x <- urstab(200, 1.2, 0.5, 2, 0, 0)