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McCulloch(2) Scilab Function McCulloch(2)
NAME
McCulloch - Stable law parameters estimation (McCulloch method)
Author: Lotfi Belkacem
This routine estimates parameters of a stable law using the Mc-Culloch
(1985) method.
Usage
[param,sd_param]=McCulloch(data)
Input parameters
o data : real vector [size,1] corresponding to the data sample.
Output parameters
o param : real vector [4,1] corresponding to the four estimated param-
eters of the fited stable law. the order is respectively alpha
(characteristic exponent), beta (skewness parameter), mu (location
parameter), gamma (scale parameter)
o sd_param : real vector [4,1] corresponding to estimated standard
deviation of the four previous parameters.
Example
[proc1.5,inc1.5]=sim_stable(1.5,0,0,1,10000); generates a standard 1.5-
stable motion. [param,sd_param]=McCulloch(inc1.5); estimates parameters of
the previous simutated 1.5-stable random variable inc1.5 To visualize the
estimates parameters or their sd-deviations use respectively param or
sd_param. alpha=param(1), beta=param(2), mu=param(3), gamma=param(4).
sd_alpha=sd_param(1), sd_alphabeta=sd_param(2), sd_alphamu=sd_param(3),
sd_gamma=sd_param(4).
Remarque
Skewness parameter and its sd-deviation estimations are not very accurate.
Specially when the characteristic exponent is arround 2.
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