CDF of Symmetric Stable Distribution
Evaluates the cdf for the symmetric alpha stable distribution. For alpha=1 this is the Cauchy distribution.
pSaS(x, alpha, c = 1, mu = 0)
x
: Vector of probabilities.alpha
: Index of stability; Number in (0,2)c
: Scale parameter, c>0mu
: Location parameter, any real numberThe integration is preformed using the QAWF method in the GSL library for C. The characteristic function is
f(t) = e^(-c |t|^alpha) e^(it*mu).
G. Samorodnitsky and M. Taqqu (1994). Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. Chapman & Hall, Boca Raton.
Michael Grabchak and Lijuan Cao
x = (-10:10)/10 pSaS(x,.5)
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