dSaS | R Documentation |
Evaluates the pdf for the symmetric alpha stable distribution. For alpha=1 this is the Cauchy distribution.
dSaS(x, alpha, c = 1, mu = 0)
x |
Vector of points. |
alpha |
Index of stability; Number in (0,2) |
c |
Scale parameter, c>0 |
mu |
Location parameter, any real number |
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^(i*t*mu).
Michael Grabchak and Lijuan Cao
G. Samorodnitsky and M. Taqqu (1994). Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. Chapman & Hall, Boca Raton.
x = (-10:10)/10 dSaS(x,.5)
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