Remarks on the Stable S α (β,γ,μ) Distribution

Tibor K. Pogány and Saralees Nadarajah ()
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Tibor K. Pogány: University of Rijeka
Saralees Nadarajah: University of Manchester

Methodology and Computing in Applied Probability, 2015, vol. 17, issue 2, 515-524

Abstract: Abstract Closed forms are derived for the probability density function (PDF) of the stable distribution S α (β, γ, μ), α ∈ (1, 2]. Consequent asymptotic expansions are given. Numerical evidence is given to show superior performance versus the most common way to compute a stable PDF.

Keywords: Characteristic function; Probability density function; Stable distribution S α (β; γ; μ); Primary 60E10; Secondary 33C60; 62G32 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11009-014-9404-9

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