An algorithm for evaluating stable densities in Zolotarev's (M) parameterization

Authors
Nolan, JP
Citation
Jp. Nolan, An algorithm for evaluating stable densities in Zolotarev's (M) parameterization, MATH COMP M, 29(10-12), 1999, pp. 229-233
Citations number
8
Categorie Soggetti
Engineering Mathematics
Journal title
MATHEMATICAL AND COMPUTER MODELLING
ISSN journal
08957177 → ACNP
Volume
29
Issue
10-12
Year of publication
1999
Pages
229 - 233
Database
ISI
SICI code
0895-7177(199905/06)29:10-12<229:AAFESD>2.0.ZU;2-E
Abstract
One of the major obstacles to the use of stable distributions in applicatio ns is the lack of formulas for their densities. A program is described to c alculate a general alpha-stable density for alpha > 0.75 and any skewness v alue beta. (C) 1999 Elsevier Science Ltd. All rights reserved.