stbllike
statistics: nlogL = stbllike (params, x)
statistics: [nlogL, acov] = stbllike (params, x)
statistics: [nlogL, acov] = stbllike (params, x, freq)
Negative log-likelihood for the stable distribution.
nlogL = stbllike (params, x) returns the negative
log-likelihood of the data in x corresponding to the stable
distribution, in the Nolan S0 parameterization, with (1) tail index
alpha, (2) skewness beta, (3) scale gam, and (4) location
delta given in the four-element vector params.
[nlogL, acov] = stbllike (params, x) also
returns the inverse of the observed Fisher information matrix, acov. If
the input parameter values in params are the maximum likelihood
estimates, the diagonal elements of acov are their asymptotic
variances. acov is based on the numerically evaluated Hessian of the
negative log-likelihood, since the stable density has no closed form.
[…] = stbllike (params, x, freq) accepts a
frequency vector, freq, of the same size as x. freq must
contain non-negative integer frequencies for the corresponding elements in
x. By default, or if left empty, freq = ones (size
(x)).
Further information about the stable distribution can be found at https://en.wikipedia.org/wiki/Stable_distribution
See also: stblfit, stblpdf, stblcdf, stblinv, stblrnd
Source Code: stbllike
Negative log-likelihood of a stable fit to simulated data
rand ("seed", 42);
x = stblrnd (1.5, 0.5, 1, 0, 150, 1);
phat = stblfit (x);
nlogL = stbllike (phat, x)
nlogL = 289.58