Crate alpha_stable

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Alpha Stable

Library to sample from, and generate Probability Distributions of, Alpha Stable distributions.

Implementation uses approach described in: Stable Distributions, Szymon Barak, Wolfgang Hardle and Rafal Weron available at: http://hdl.handle.net/10419/25027

Distributions are specified using one of two forms:

  • Standard form: S_alpha(sigma, beta, mu) - equivalent to the ‘first parameterization’ of Wikipedia (https://en.wikipedia.org/wiki/Stable_distribution) with c = sigma.
  • Nolan’s form: S^0_alpha(sigma, beta, mu_0) - equivalent to the ‘second parameterization’ in Wikipedia with delta = mu_0 and gamma = sigma.

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