R-beta: stable distribution and stable glm package

Philippe Lambert (plambert@ulg.ac.be)
Tue, 30 Jun 1998 15:15:08 +0200

Date: Tue, 30 Jun 1998 15:15:08 +0200
From: Philippe Lambert <plambert@ulg.ac.be>
To: r-announce@stat.math.ethz.ch
Subject: R-beta: stable distribution and stable glm package

I have just uploaded the package "stable-0.1.tgz" to the contrib section
of CRAN.

It enables to compute the density ('dstable'), the distribution
('pstable'), the quantile ('qstable') and the hazard ('hstable')
functions of a stable variate.

'stable.mode' computes the mode of a stable distribution.

The procedure 'stableglm' also enables to fit generalized linear models
for the parameters of a stable distribution interactively. 

This package was used to produce the results published in the  paper 
Lambert, P. and Lindsey, J.K. (1998) 'Generalized regression models
for heavy-tailed processes based on non-symmetric stable
distributions: a likelihood approach. (To appear in Applied Statistics)'

Note that 'rstable' is not a miracle of computation.
Implementing the Chambers, Mallows and Stuck (JASA 71: 340-44)
algorithm would certainly be preferable for 'rstable'.

Bug reports and suggestions are of course welcome.

Philippe Lambert
 Philippe Lambert                   Tel: (+32)-4-3663091
 Universite de Liege                Fax: (+32)-4-3663120
 Faculte d'Economie, de Gestion et de Sciences Sociales
 Sart-Tilman B31, B-4000 Liege
 Belgium                      email: plambert@ulg.ac.be
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