 libstable: Fast, Parallel, and High-Precision Computation of α-Stable Distributions in R, C/C++, and MATLABJavier Royuela-del-Val, Federico Simmross-Wattenberg and Carlos Alberola-López Journal of Statistical Software, 2017, vol. 078, issue i01 Abstract: α-stable distributions are a family of well-known probability distributions. However, the lack of closed analytical expressions hinders their application. Currently, several tools have been developed to numerically evaluate their density and distribution functions or to estimate their parameters, but available solutions either do not reach sufficient precision on their evaluations or are excessively slow for practical purposes. Moreover, they do not take full advantage of the parallel processing capabilities of current multi-core machines. Other solutions work only on a subset of the α-stable parameter space. In this paper we present an R package and a C/C++ library with a MATLAB front-end that permit parallelized, fast and high precision evaluation of density, distribution and quantile functions, as well as random variable generation and parameter estimation of α-stable distributions in their whole parameter space. The described library can be easily integrated into third party developments. Date: 2017-06-01 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:078:i01 Access Statistics for this article Journal of Statistical Software is currently edited by Bettina Grün, Edzer Pebesma and Achim Zeileis More articles in Journal of Statistical Software from Foundation for Open Access Statistics |
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