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Koutrouvelis(2) Scilab Function Koutrouvelis(2)
NAME
Koutrouvelis - Stable Law parameters estimation (Koutrouvelis method)
Author: Lotfi Belkacem
This routine estimates parameters of a stable law using the Koutrouvelis
(1985) method.
Usage
[alpha,beta,mu,gamma]=Koutrouvelis(data)
Input parameters
o proc : real vector [size,1] corresponding to the data sample.
Output parameters
o alpha : real positive scalar between 0 and 2. This parameter is
often referred to as the characteristic exponent.
o beta : real scalar between -1 and +1. This parameter is often
referred to as the skewness parameter.
o mu : real scalar This parameter is often referred to as the location
parameter. It is equal to the expectation when alpha is greater
than 1.
o gamma : real positive scalar. This parameter is often referred to as
the scale parameter. It is equal to the standard deviation over two
squared when alpha equal 2.
Example
[proc1,inc1]=sim_stable(1,0,0,1,10000); generates a standard 1-stable
motion (Cauchy process). [alpha,beta,mu,gamma]=Koutrouvelis(inc1); esti-
mates parameters of the previous simutated 1-stable random variable inc1.
Remarque
Skewness and location parameters are badly estimated with this methode.
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