Represents a stable distribution in Nolan's S1 parametrization.
The characteristic function in Nolan's S1 parametrization is:
log(phi(t))= -scale^alpha |t|^alpha (1-i beta Sign(t) Tan(pi alpha/2)) + i location t (for alpha not equal to 1)and
log(phi(t)) = -scale |t| (1+i beta Sign(t) (2/pi) Log(|t|)) + i location t (for alpha equal to 1)
Reference: J.P.Nolan, Numerical calculation of stable densities and distribution functions. Communication is statistics - Stochastic models, 13, 759-774, 1999
Reference: S.Borak, W.Härdle, R.Weron, Stable distributions. SFB 649 Discussion paper 2005-2008, http://sfb649.wiwi.hu-berlin.de, ISSN 1860-5664
If you are interested in accurate calculations when beta is close to 1 or -1, you should use those functions which allow you to provide the parameter abe
. This helps
specifying beta with higher accuracy close to +1 or -1. For instance, by using abe=1E-30 and beta=1, it is possible to specify beta=1-1E-30, which is impossible otherwise since with the 64-bit representation of numbers.
Constructor | Description |
Full Usage:
StableDistributionS1()
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Creates a new instance of the stable distribution in Nolan's parametrization with default parameters (alpha=1, beta=0) and the default generator. |
Full Usage:
StableDistributionS1(generator)
Parameters:
Generator
-
Random number generator to be used with this distribution.
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Creates a new instance of he stable distribution in Nolan's parametrization with default parameters (alpha=1, beta=0).
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Full Usage:
StableDistributionS1(alpha, beta)
Parameters:
float
-
Characteristic exponent of the distribution.
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
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Creates a new instance of he stable distribution in Nolan's parametrization with given parameters (alpha, beta) and the default random number generator.
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Full Usage:
StableDistributionS1(alpha, beta, abe)
Parameters:
float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
abe : float
-
Parameter to specify beta with higher accuracy around -1 and 1. Is defined as 1-beta for beta>=0 or as 1+beta for beta<0.
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Creates a new instance of he stable distribution in Nolan's parametrization with given parameters (alpha, beta, abe) and the default random number generator.
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Full Usage:
StableDistributionS1(alpha, beta, scale, location)
Parameters:
float
-
Distribution parameter alpha (broadness exponent).
beta : float
-
Distribution parameter beta (skew).
scale : float
-
Scaling parameter (broadness of the distribution).
location : float
-
Location parameter of the distribution.
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Creates a new instance of he stable distribution in Nolan's parametrization with given parameters (alpha, beta, scale, location) and the default random number generator.
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Full Usage:
StableDistributionS1(alpha, beta, scale, location, generator)
Parameters:
float
-
Characteristic exponent of the distribution.
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
generator : Generator
-
Random number generator to be used with this distribution.
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Creates a new instance of he stable distribution in Nolan's parametrization with given parameters (alpha, beta, scale, location) and the provided random number generator.
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Full Usage:
StableDistributionS1(alpha, beta, abe, scale, location)
Parameters:
float
-
Characteristic exponent of the distribution.
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
abe : float
-
Parameter to specify beta with higher accuracy around -1 and 1. Is defined as 1-beta for beta>=0 or as 1+beta for beta<0.
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
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Creates a new instance of the stable distribution in Nolan's parametrization with given parameters (alpha, beta, abe, scale, location) and the default random number generator.
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Full Usage:
StableDistributionS1(alpha, beta, abe, scale, location, generator)
Parameters:
float
-
Distribution parameter alpha (broadness exponent).
beta : float
-
Distribution parameter beta (skew).
abe : float
-
Parameter to specify beta with higher accuracy around -1 and 1. Is defined as 1-beta for beta>=0 or as 1+beta for beta<0.
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
generator : Generator
-
Random number generator to be used with this distribution.
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Creates a new instance of he stable distribution in Nolan's parametrization with given parameters (alpha, beta, abe, scale, location) and the provided random number generator.
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Instance member | Description |
Full Usage:
this.CDF
Parameters:
float
-
Argument.
Returns: float
The probability that the random variable of this probability distribution will be found at a value less than or equal to x.
Modifiers: abstract |
Calculates the cumulative distribution function.
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Full Usage:
this.Initialize
Parameters:
float
-
Distribution parameter alpha (broadness exponent).
beta : float
-
Distribution parameter beta (skew).
abe : float
-
Parameter to specify beta with higher accuracy around -1 and 1. Is defined as 1-beta for beta>=0 or as 1+beta for beta<0.
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
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Initializes this instance of the distribution with the distribution parameters.
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Full Usage:
this.Maximum
Returns: float
Modifiers: abstract |
Gets the maximum possible value of distributed random numbers.
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Full Usage:
this.Mean
Returns: float
Modifiers: abstract |
Gets the mean of distributed random numbers. For alpha<=1, it is not defined. For alpha>1, it is the StableDistributionS1._location parameter.
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Full Usage:
this.Median
Returns: float
Modifiers: abstract |
Gets the median of distributed random numbers. If beta=0, it is StableDistributionS1._location. For beta!=0, it is also defined, but not analytically expressable, and is not calcuated here (TODO, please help!).
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Full Usage:
this.Minimum
Returns: float
Modifiers: abstract |
Gets the minimum possible value of distributed random numbers.
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Full Usage:
this.Mode
Returns: float[]
Modifiers: abstract |
Gets the mode of distributed random numbers.
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Full Usage:
this.NextDouble
Returns: float
A distributed double-precision floating point number.
Modifiers: abstract |
Returns a distributed floating point random number.
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Full Usage:
this.PDF
Parameters:
float
-
Argument.
Returns: float
The relative likelihood for the random variable to occur at the point x.
Modifiers: abstract |
Calculates the probability density function.
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Full Usage:
this.Quantile
Parameters:
float
-
The probability p.
Returns: float
The point x at which the cumulative distribution function M:CDF() of argument x is equal to p.
Modifiers: abstract |
Calculates the quantile of the distribution function.
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Full Usage:
this.Variance
Returns: float
Modifiers: abstract |
Gets the variance of distributed random numbers. Is finite only for alpha=2.
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Static member | Description |
Full Usage:
StableDistributionS1.CDF(x, alpha, beta)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
Returns: float
Cumulative distribution value at x.
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Calculates the cumulative distribution function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.CDF(x, alpha, beta, scale, location)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
Returns: float
Cumulative distribution value at x.
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Calculates the cumulative distribution function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.CDF(x, alpha, beta, tempStorage, precision)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
tempStorage : byref<obj>
-
Temporary storage. For the first call, provide null as parameter. For subsequent calls, you can provide the object returned in the first call to speed up calculation.
precision : float
-
The required relative precision of calculation.
Returns: float
Cumulative distribution value at x.
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Calculates the cumulative distribution function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.CDF(x, alpha, beta, scale, location, tempStorage, precision)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
tempStorage : byref<obj>
-
Temporary storage. For the first call, provide null as parameter. For subsequent calls, you can provide the object returned in the first call to speed up calculation.
precision : float
-
The required relative precision of calculation.
Returns: float
Cumulative distribution value at x.
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Calculates the cumulative distribution function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.CDF(x, alpha, beta, abe)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
abe : float
-
Parameter to specify beta with higher accuracy around -1 and 1. Is defined as 1-beta for beta>=0 or as 1+beta for beta<0.
Returns: float
Cumulative distribution value at x.
|
Calculates the cumulative distribution function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.CDF(x, alpha, beta, abe, scale, location)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
abe : float
-
Parameter to specify beta with higher accuracy around -1 and 1. Is defined as 1-beta for beta>=0 or as 1+beta for beta<0.
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
Returns: float
Cumulative distribution value at x.
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Calculates the cumulative distribution function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.CDF(x, alpha, beta, abe, scale, location, tempStorage, precision)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
abe : float
-
Parameter to specify beta with higher accuracy around -1 and 1. Is defined as 1-beta for beta>=0 or as 1+beta for beta<0.
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
tempStorage : byref<obj>
-
Temporary storage. For the first call, provide null as parameter. For subsequent calls, you can provide the object returned in the first call to speed up calculation.
precision : float
-
The required relative precision of calculation.
Returns: float
Cumulative distribution value at x.
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Calculates the cumulative distribution function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.GetAgt1GnParameter(x, alpha, beta, abe, factorp, factorw, dev, logPrefactor)
Parameters:
float
alpha : float
beta : float
abe : float
factorp : byref<float>
factorw : byref<float>
dev : byref<float>
logPrefactor : byref<float>
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Full Usage:
StableDistributionS1.GetAlt1GnParameter(x, alpha, beta, abe, factorp, facdiv, dev, logPdfPrefactor)
Parameters:
float
alpha : float
beta : float
abe : float
factorp : byref<float>
facdiv : byref<float>
dev : byref<float>
logPdfPrefactor : byref<float>
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Full Usage:
StableDistributionS1.GetAlt1GpParameter(x, alpha, beta, abe, factorp, facdiv, dev, logPdfPrefactor)
Parameters:
float
alpha : float
beta : float
abe : float
factorp : byref<float>
facdiv : byref<float>
dev : byref<float>
logPdfPrefactor : byref<float>
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Full Usage:
StableDistributionS1.IsValidAlpha(alpha)
Parameters:
float
Returns: bool
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Full Usage:
StableDistributionS1.IsValidBeta(beta)
Parameters:
float
Returns: bool
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Full Usage:
StableDistributionS1.IsValidLocation(location)
Parameters:
float
Returns: bool
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Full Usage:
StableDistributionS1.IsValidScale(scale)
Parameters:
float
Returns: bool
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Full Usage:
StableDistributionS1.PDF(x, alpha, beta)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
Returns: float
Probability density at x.
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Calculates the probability density function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.PDF(x, alpha, beta, scale, location)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
Returns: float
Probability density at x.
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Calculates the probability density function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.PDF(x, alpha, beta, scale, location, tempStorage, precision)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
tempStorage : byref<obj>
-
Temporary storage. For the first call, provide null as parameter. For subsequent calls, you can provide the object returned in the first call to speed up calculation.
precision : float
-
The required relative precision of calculation.
Returns: float
Probability density at x.
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Calculates the probability density function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.PDF(x, alpha, beta, abe, scale, location, tempStorage, precision)
Parameters:
float
-
Argument.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
abe : float
-
Parameter to specify beta with higher accuracy around -1 and 1. Is defined as 1-beta for beta>=0 or as 1+beta for beta<0.
scale : float
-
Scaling parameter (broadness) of the distribution, >0.
location : float
-
Location parameter of the distribution.
tempStorage : byref<obj>
-
Temporary storage. For the first call, provide null as parameter. For subsequent calls, you can provide the object returned in the first call to speed up calculation.
precision : float
-
The required relative precision of calculation.
Returns: float
Probability density at x.
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Calculates the probability density function of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.Quantile(p, alpha, beta)
Parameters:
float
-
Probability p.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
Returns: float
The value x, so that with a probability of p the random variable is |
Calculates the quantile of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.Quantile(p, alpha, beta, abe)
Parameters:
float
-
Probability p.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
abe : float
-
Parameter to specify beta with higher accuracy around -1 and 1. Is defined as 1-beta for beta>=0 or as 1+beta for beta<0.
Returns: float
The value x, so that with a probability of p the random variable is |
Calculates the quantile of the stable distribution in S1 parametrization.
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Full Usage:
StableDistributionS1.Quantile(p, alpha, beta, abe, tempStorage, precision)
Parameters:
float
-
Probability p.
alpha : float
-
Characteristic exponent of the distribution, in the range (0,2].
beta : float
-
Skewness parameter of the distribution, in the range [-1,1].
abe : float
-
Parameter to specify beta with higher accuracy around -1 and 1. Is defined as 1-beta for beta>=0 or as 1+beta for beta<0.
tempStorage : byref<obj>
-
Temporary storage. For the first call, provide null as parameter. For subsequent calls, you can provide the object returned in the first call to speed up calculation.
precision : float
-
The required relative precision of calculation.
Returns: float
The value x, so that with a probability of p the random variable is |
Calculates the quantile of the stable distribution in S1 parametrization.
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