Links

Description

Link and inverse functions for use in stablereg

Usage

loc_g(x)

loc_h(x)

disp_g(x)

disp_h(x)

skew_g(x)

skew_h(x)

tail_g(x)

tail_h(x)

Arguments

Easy conversion of parameters between stabledist (Nolan 1-parameterization) and stable (Lambert and Lindsey 1999)

Description

sd2s has stabledist parameter (Nolan 1-parameterization) inputs and returns stable parameters as put forth in Lambert and Lindsey (1999) and used in this package. s2sd has stable parameter (Lambert and Lindsey (1999)) inputs and returns stabledist parameters (Nolan 1-parameterization). See examples and the readme. There's also more context and references in '?stable::dstable'.

Usage

sd2s(alpha, beta, gamma, delta, pm = 1)

s2sd(tail, skew, disp, loc, pm = 1)

Arguments

Details

[Swihart 2022 update:] See the examples and README for how to make equivalent calls to those of 'stabledist' (i.e., Nolan's 1-parameterization as detailed in Nolan (2020)) using these functions and this package. See github for Lambert and Lindsey 1999 JRSS-C journal article, which details the parameterization of the Buck (1995) stable distribution which allowed a Fourier inversion to arrive at a form of the $g_d$ function as detailed in Nolan (2020), The Buck (1995) parameterization most closely resembles the Zolotarev B parameterization outlined in Definition 3.6 on page 93 of Nolan (2020) – except that Buck (1995) did not allow the scale parameter to multiply with the location parameter. This explains why the 'Zolotarev B' entry in Table 3.1 on page 97 of Nolan (2020) has the location parameter being multiplied by the scale parameter whereas in converting the Lindsey and Lambert (1999) to Nolan 1-parameterization the location parameter stays the same.

Value

sd2s returns stable parameters as put forth in Lambert and Lindsey (1999) and used in this package. s2sd returns stabledist parameters (Nolan 1-parameterization).

References

Lambert, P. and Lindsey, J.K. (1999) Analysing financial returns using regression models based on non-symmetric stable distributions. Applied Statistics, 48, 409-424.

Nolan, John P. Univariate stable distributions. Berlin/Heidelberg, Germany: Springer, 2020.

Examples

## Not run: 
q <- -1
# nolan pm=1 parameters:
a <-  1.3
b <-  -0.4
c <-  2
d <-  0.75
s <- sd2s(alpha=a, beta=b, gamma=c, delta=d)
stable::pstable(q, tail = s$tail, skew=s$skew, disp = s$disp, loc  = s$loc)
stabledist::pstable(q, alpha=a, beta=b , gamma=c , delta=d, pm=1)
sd <- s2sd(tail = s$tail, skew=s$skew, disp = s$disp, loc  = s$loc)
stabledist::pstable(q, alpha=sd$alpha, beta=sd$beta , gamma=sd$gamma , delta=sd$delta, pm=1)
## End(Not run)

Easy conversion of parameters between stabledist Nolan 1-parameterization and 0-parameterization

Description

pm0_to_pm1 has stabledist parameter inputs for pm=0 and returns pm=1 equivalent parameterization. pm1_to_pm0 has stabledist parameter inputs for pm=1 and returns pm=0 equivalent parameterization.

Usage

pm0_to_pm1(a0, b0, c0, d0)

pm1_to_pm0(a1, b1, c1, d1)

Arguments

Details

See table Table 3.1 on page 97 of Nolan (2020).

Value

pm0_to_pm1 has stabledist parameter inputs for pm=0 and returns pm=1 equivalent parameterization. pm1_to_pm0 has stabledist parameter inputs for pm=1 and returns pm=0 equivalent parameterization.

References

Nolan, John P. Univariate stable distributions. Berlin/Heidelberg, Germany: Springer, 2020.

Examples

## Not run: q <- -1
# nolan pm=1 parameters:
a1 <-  1.3
b1 <-  -0.4
c1 <-  2
d1 <-  0.75
# Convert to nolan pm=0 parameters:
pm0 <- pm1_to_pm0(a1,b1,c1,d1)
a0 <- pm0$a0
b0 <- pm0$b0
c0 <- pm0$c0
d0 <- pm0$d0
# check:
stabledist::pstable(q, alpha=a1, beta=b1 , gamma=c1 , delta=d1, pm=1)
#> [1] 0.1965513
# only change delta=d0 for pm=0
stabledist::pstable(q, alpha=a1, beta=b1 , gamma=c1 , delta=d0, pm=0)
stabledist::pstable(q, alpha=a0, beta=b0 , gamma=c0 , delta=d0, pm=0)
#> [1] 0.1965513
stabledist::dstable(q, alpha=a1, beta=b1 , gamma=c1 , delta=d1, pm=1)
#> [1] 0.0572133
# only change delta=d0 for pm=0
stabledist::dstable(q, alpha=a1, beta=b1 , gamma=c1 , delta=d0, pm=0)
stabledist::dstable(q, alpha=a0, beta=b0 , gamma=c0 , delta=d0, pm=0)
#> [1] 0.0572133
## End(Not run)

Stable Distribution

Description

These functions provide information about the stable distribution with the location, the dispersion, the skewness and the tail thickness respectively modelled by the parameters loc, disp, skew and tail. These differ from those of 'stabledist' (i.e., Nolan's 0-parameterization and 1-parameterization as detailed in Nolan (2020)). See the README for how to make equivalent calls to those of 'stabledist' (i.e., Nolan's 0-parameterization and 1-parameterization as detailed in Nolan (2020)).

Usage

dstable(
  x,
  loc = 0,
  disp = 1/sqrt(2),
  skew = 0,
  tail = 2,
  npt = 501,
  up = 10,
  eps = 1e-06,
  integration = "Romberg"
)

pstable(q, loc = 0, disp = 1/sqrt(2), skew = 0, tail = 2, eps = 1e-06)

qstable(p, loc = 0, disp = 1/sqrt(2), skew = 0, tail = 2, eps = 1e-06)

rstable(n = 1, loc = 0, disp = 1/sqrt(2), skew = 0, tail = 2, eps = 1e-06)

hstable(x, loc = 0, disp = 1/sqrt(2), skew = 0, tail = 2, eps = 1e-06)

Arguments

Details

dstable, pstable, qstable and hstable compute the density, the distribution, the quantile and the hazard functions of a stable variate. rstable generates random deviates with the prescribed stable distribution.

loc is a location parameter in the same way as the mean in the normal distribution: it can take any real value.

disp is a dispersion parameter in the same way as the standard deviation in the normal distribution: it can take any positive value.

skew is a skewness parameter: it can take any value in (-1,1). The distribution is right-skewed, symmetric and left-skewed when skew is negative, null or positive respectively.

tail is a tail parameter (often named the characteristic exponent): it can take any value in (0,2) (with tail=1 and tail=2 yielding the Cauchy and the normal distributions respectively when symmetry holds).

If loc, disp, skew, or tail are not specified they assume the default values of 0, 1/sqrt(2), 0 and 2 respectively. This corresponds to a normal variate with mean=0 and variance=1/2 disp^2.

The stable characteristic function is given by

greekphi(t) = i loca t - disp {|t|}^{tail} [1+i skew sign(t) greekomega(t,tail)]

where

greekomega(t,tail) = \frac{2}{\pi} LOG(ABS(t))

when tail=1, and

greekomega(t,tail) = tan(\frac{\pi tail}{2})

otherwise.

The characteristic function is inverted using Fourier's transform to obtain the corresponding stable density. This inversion requires the numerical evaluation of an integral from 0 to \infty. Two algorithms are proposed for this. The default is Romberg's method (integration="Romberg") which is used to evaluate the integral with an error bounded by eps. The alternative method is Simpson's integration (integration="Simpson"): it approximates the integral from 0 to \infty by an integral from 0 to up with npt points subdividing (O, up). These three extra arguments – integration, up and npt – are only available when using dstable. The other functions are all based on Romberg's algorithm.

[Swihart 2022 update:]

See the README for how to make equivalent calls to those of 'stabledist' (i.e., Nolan's 0-parameterization and 1-parameterization as detailed in Nolan (2020)). See github for Lambert and Lindsey 1999 JRSS-C journal article, which details the parameterization of the Buck (1995) stable distribution which allowed a Fourier inversion to arrive at a form similar to but not exactly the $g_d$ function as detailed in Nolan (2020), Abdul-Hamid and Nolan (1998) and Nolan (1997). The Nolan (2020) reference is a textbook that provides an accessible and comprehensive summary of stable distributions in the 25 years or so since the core of this R package was made and put on CRAN. The Buck (1995) parameterization most closely resembles the Zolotarev B parameterization outlined in Definition 3.6 on page 93 of Nolan (2020) – except that Buck (1995) did not allow the scale parameter to multiply with the location parameter. This explains why the 'Zolotarev B' entry in Table 3.1 on page 97 of Nolan (2020) has the location parameter being multiplied by the scale parameter whereas in converting the Lindsey and Lambert (1999) to Nolan 1-parameterization the location parameter stays the same.

To be clear, stable::dstable and stable::pstable are evaluated by numerically integrating the inverse Fourier transform. The code works reasonably for small and moderate values of x, but will have numerical issues in some cases (such as values from stable::pstable being greater than 1 or or not being monotonic). The arguments npt, up, integration, and eps can be adjusted to improve accuracy at the cost of speed, but will still have limitations. Functions that better handle these problems are available in other packages (such as stabledist and stable) that use an alternative method (as detailed in Nolan 1997) distinct from directly numerically integrating the Fourier inverse transform. See last example in the README.

Functions

• dstable: density

• pstable: cdf

• qstable: quantiles

• rstable: random deviates

• hstable: hazard

Author(s)

Philippe Lambert (Catholic University of Louvain, Belgium, phlambert@stat.ucl.ac.be)

Jim Lindsey

References

Lambert, P. and Lindsey, J.K. (1999) Analysing financial returns using regression models based on non-symmetric stable distributions. Applied Statistics, 48, 409-424.

Nolan, John P. Univariate stable distributions. Berlin/Heidelberg, Germany: Springer, 2020.

Nolan, John P. "Numerical calculation of stable densities and distribution functions." Communications in statistics. Stochastic models 13.4 (1997): 759-774.

Abdul-Hamid, Husein, and John P. Nolan. "Multivariate stable densities as functions of one dimensional projections." Journal of multivariate analysis 67.1 (1998): 80-89.

See Also

stablereg to fit generalized nonlinear regression models for the stable distribution parameters. R packages stabledist and libstableR provide [dpqr] functions.

Examples

par(mfrow=c(2,2))
x <- seq(-5,5,by=0.1)

# Influence of loc (location)
plot(x,dstable(x,loc=-2,disp=1/sqrt(2),skew=-0.8,tail=1.5),
  type="l",ylab="",main="Varying LOCation")
lines(x,dstable(x,loc=0,disp=1/sqrt(2),skew=-0.8,tail=1.5))
lines(x,dstable(x,loc=2,disp=1/sqrt(2),skew=-0.8,tail=1.5))

# Influence of disp (dispersion)
plot(x,dstable(x,loc=0,disp=0.5,skew=0,tail=1.5),
  type="l",ylab="",main="Varying DISPersion")
lines(x,dstable(x,loc=0,disp=1/sqrt(2),skew=0,tail=1.5))
lines(x,dstable(x,loc=0,disp=0.9,skew=0,tail=1.5))

# Influence of skew (skewness)
plot(x,dstable(x,loc=0,disp=1/sqrt(2),skew=-0.8,tail=1.5),
  type="l",ylab="",main="Varying SKEWness")
lines(x,dstable(x,loc=0,disp=1/sqrt(2),skew=0,tail=1.5))
lines(x,dstable(x,loc=0,disp=1/sqrt(2),skew=0.8,tail=1.5))

# Influence of tail (tail)
plot(x,dstable(x,loc=0,disp=1/sqrt(2),skew=0,tail=0.8),
  type="l",ylab="",main="Varying TAIL thickness")
lines(x,dstable(x,loc=0,disp=1/sqrt(2),skew=0,tail=1.5))
lines(x,dstable(x,loc=0,disp=1/sqrt(2),skew=0,tail=2))

Mode of a Stable Distribution

Description

This function gives a reliable approximation to the mode of a stable distribution with location, dispersion, skewness and tail thickness specified by the parameters loc, disp, skew and tail. tail must be in (1,2).

Usage

stable.mode(loc, disp, skew, tail)

Arguments

Details

loc is a location parameter in the same way as the mean in the normal distribution: it can take any real value.

disp is a dispersion parameter in the same way as the standard deviation in the normal distribution: it can take any positive value.

skew is a skewness parameter: it can take any value in (-1,1). The distribution is right-skewed, symmetric and left-skewed when skew is negative, null or positive respectively.

tail is a tail parameter (often named the characteristic exponent): it can take any value in (0,2) (with tail=1 and tail=2 yielding the Cauchy and the normal distributions respectively when symmetry holds).

The simplest empirical formula found to give a satisfactory approximation to the mode for values of tail in (1,2) is

loc+disp*a*skew*exp(-b*abs(skew))

with

a = 1.7665114+1.8417675*tail-2.2954390*tail^2+0.4666749*tail^3

and

b = -0.003142967+632.4715*tail*exp(-7.106035*tail)

.

Value

A list of size 3 giving the mode, a and b.

Author(s)

Philippe Lambert (Catholic University of Louvain, Belgium, phlambert@stat.ucl.ac.be) and Jim Lindsey.

References

Lambert, P. and Lindsey, J.K. (1999) Analysing financial returns using regression models based on non-symmetric stable distributions. Applied Statistics, 48, 409-424.

See Also

stable for more details on the stable distribution.

stablereg to fit generalized linear models for the stable distribution parameters.

Examples

x <- seq(-5,5,by=0.1)
plot(x,dstable(x,loc=0,disp=1,skew=-1,tail=1.5),type="l",ylab="f(x)")
xhat <- stable.mode(loc=0,disp=1,skew=-1,tail=1.5)$ytilde
fxhat <- dstable(xhat,loc=0,disp=1,skew=-1,tail=1.5)
lines(c(xhat,xhat),c(0,fxhat),lty="dotted")

Stable Generalized Regression Models

Description

stablereg fits user specified generalized linear and nonlinear regression models based on the stable distribution to (uncensored, right and/or left censored) data. This allows the location, the dispersion, the skewness and the tails of the fitted stable distribution to vary with explanatory variables.

Usage

stablereg(
  y = NULL,
  loc = 0,
  disp = 1,
  skew = 0,
  tail = 1.5,
  oloc = TRUE,
  odisp = TRUE,
  oskew = TRUE,
  otail = TRUE,
  noopt = FALSE,
  iloc = NULL,
  idisp = NULL,
  iskew = NULL,
  itail = NULL,
  loc_h = NULL,
  disp_h = NULL,
  skew_h = NULL,
  tail_h = NULL,
  weights = 1,
  exact = FALSE,
  delta = 1,
  envir = parent.frame(),
  integration = "Romberg",
  eps = 1e-06,
  up = 10,
  npoint = 501,
  hessian = TRUE,
  llik.output = FALSE,
  print.level = 0,
  ndigit = 10,
  steptol = 1e-05,
  gradtol = 1e-05,
  fscale = 1,
  typsize = abs(p0),
  stepmax = sqrt(p0 %*% p0),
  iterlim = 100
)

Arguments

Value

A list of class stable is returned. The printed output includes the -log-likelihood, the corresponding AIC, the maximum likelihood estimates, standard errors, and correlations. It also include all the relevant information calculated, including error codes.

Warning

Because of the numerical integrations involved, convergence can be very sensitive to the initial parameter values supplied and to the settings of the arguments controlling nlm. If nlm feeds extreme parameter values in the tails of the distribution to the likelihood function, the integration may hang for a long time.

Author(s)

Philippe Lambert (Catholic University of Louvain, Belgium, phlambert@stat.ucl.ac.be) and Jim Lindsey.

References

Lambert, P. and Lindsey, J.K. (1999) Analysing financial returns using regression models based on non-symmetric stable distributions. Applied Statistics 48, 409-424.

See Also

lm, glm, stable and stable.mode.

Examples

## Share return over a 50 day period (see reference above)
# shares
y <- c(296,296,300,302,300,304,303,299,293,294,294,293,295,287,288,297,
305,307,307,304,303,304,304,309,309,309,307,306,304,300,296,301,298,
295,295,293,292,297,294,293,306,303,301,303,308,305,302,301,297,299)

# returns
ret <- (y[2:50]-y[1:49])/y[1:49]
# hist(ret, breaks=seq(-0.035,0.045,0.01))

day <- seq(0,0.48,by=0.01) # time measured in days/100
x <- seq(1,length(ret))-1

# Classic stationary normal model tail=2
print(z1 <- stablereg(y = ret, delta = 1/y[1:49],
	loc = ~1, disp= ~1, skew = ~1, tail = tail_g(1.9999999),
	iloc = 0, idisp = -3, iskew = 0, oskew = FALSE, otail = FALSE))

# Normal model (tail=2) with dispersion=disp_h(b0+b1*day)
print(z2 <- stablereg(y = ret, delta = 1/y[1:49], loc = ~day,
	disp = ~1, skew = ~1, tail = tail_g(1.999999), iloc = c(0.003,0),
	idisp = -4.5, iskew = 0, oskew = FALSE, otail = FALSE))

# Stable model with loc(ation)=loc_h(b0+b1*day)
print(z3 <- stablereg(y = ret, delta = 1/y[1:49],
	loc = ~day, disp = ~1, skew = ~1, tail = ~1,
	iloc = c(0.001,-0.004), idisp = -4.8, iskew = 0, itail = 0.6))

# Stable model with disp(ersion)=disp_h(b0+b1*day)
print(z4 <- stablereg(y = ret, delta = 1/y[1:49],
	loc = ~1, disp = ~day, skew = ~1, tail = ~1,
	iloc = 0.003, idisp = c(-4.8,0), iskew = -0.03, itail = 1.6))

# Stable model with skew(ness)=skew_h(b0+b1*day)
# Evaluation at fixed parameter values (because noopt is set to TRUE)
print(z5 <- stablereg(y = ret, delta = 1/y[1:49],
	loc = ~1, disp = ~1, skew = ~day, tail = ~1,
	iloc = 5.557e-04, idisp = -4.957, iskew = c(2.811,-2.158),
	itail = 1.57, noopt=TRUE))

# Stable model with tail=tail_h(b0+b1*day)
print(z6 <- stablereg(y = ret, delta = 1/y[1:49], loc = ret ~ 1,
	disp = ~1, skew = ~1, tail = ~day, iloc = 0.002,
	idisp = -4.8, iskew = -2, itail = c(2.4,-4), hessian=FALSE))