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STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams

Author

Listed:
  • Szymon Borak
  • Rafal Weron

    (Wroclaw University of Technology)

Programming Language

MATLAB

Abstract

STABLEREGKW returns the estimated parameters ALPHA, BETA, SIGMA, MU of a stable distribution vector. STABLEREGKW uses the characteristic function regression method of S.M.Kogon, D.B.Williams (1998) "Characteristic Function Based Estimation of Stable Distribution Parameters", in "A Practical Guide to Heavy Tails: Statistical Techniques and Applications", R.J.Adler,R.E.Feldman, M.Taqqu eds., Birkhauser, Boston, 311-335.

Suggested Citation

  • Szymon Borak & Rafal Weron, 2010. "STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams," Statistical Software Components M429004, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:m429007
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/s/stableregkw.m
    File Function: program file
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    Cited by:

    1. Daniel Traian Pele & Vasile Nicolae Stanciulescu, 2015. "On a Class of Alpha-stable Distributions and Its Applications in Estimating Market Risk," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(2), pages 007-015, December.

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