rSaS | R Documentation |
Simulates from the symmetric alpha stable distribution. When alpha=1 this is the Cauchy distribution. The simulation is performed using a well-known approah. See for instance Proposition 1.7.1 in Samorodnitsky and Taqqu (1994).
rSaS(r, alpha, c = 1, mu = 0)
r |
Number of observations. |
alpha |
Index of stability; Number in (0,2) |
c |
Scale parameter, c>0 |
mu |
Location parameter, any real number |
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.
rSaS(10,.5)
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