STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT

Rafał Weron

Statistical Software Components from Boston College Department of Economics

Abstract: STABLEPDF_FFT returns the stable pdf in the S0 parametrization with characteristic exponent ALPHA, skewness BETA, scale SIGMA and location MU at 2^N evenly spaced values in the interval [-XMAX,XMAX].

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.2)
Keywords: Stable distribution; Probability density function (pdf); FFT (search for similar items in EconPapers)
Date: 2010-05-01
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http://fmwww.bc.edu/repec/bocode/s/stablepdf_fft.m program file (text/plain)

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