STABLERND: MATLAB function to generate random numbers from the stable distribution

Rafał Weron

Statistical Software Components from Boston College Department of Economics

Abstract: STABLERND returns a matrix of random numbers drawn from the stable distribution with characteristic exponent ALPHA, skewness BETA, scale SIGMA and location MU. STABLERND uses a variant of the Chambers-Mallows-Stuck (1976) method and allows to select the S0 or S (S1) parametrization.

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.2)
Keywords: Stable distribution; Random number generation; Chambers-Mallows-Stuck method (search for similar items in EconPapers)
Date: 2010-05-01
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http://fmwww.bc.edu/repec/bocode/s/stablernd.m program file (text/plain)

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