pSaS function

CDF of Symmetric Stable Distribution

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)

Arguments

  • x: Vector of probabilities.
  • alpha: Index of stability; Number in (0,2)
  • c: Scale parameter, c>0
  • mu: Location parameter, any real number

Details

The 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).

References

G. Samorodnitsky and M. Taqqu (1994). Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. Chapman & Hall, Boca Raton.

Author(s)

Michael Grabchak and Lijuan Cao

Examples

x = (-10:10)/10 pSaS(x,.5)
  • Maintainer: Michael Grabchak
  • License: GPL (>= 3)
  • Last published: 2023-01-15

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