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how to calculate in SAGE the cumulative distribution function of a "stable distribution"?

asked 2012-04-11 18:56:26 +0100

juanpool gravatar image

updated 2015-01-18 11:24:26 +0100

FrédéricC gravatar image

A stable distribution, defined in wiki is basically defined by,

In probability theory, a random variable is said to be stable (or to have a stable distribution) if it has the property that a linear combination of two independent copies of the variable has the same distribution, up to location and scale parameters.

As far as I know, the family of stable distributions is defined by four parameters: mu, c, alpha and beta. I need to generate random numbers according to a given stable distribution, that is, to a given choice of the parameters of the stable distribution family.

How can it be done in SAGE? Is there some "statistical package" which provides this?

Best regards.

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answered 2012-04-11 22:15:26 +0100

juanpool gravatar image

I am considering tree possible solutions.

  1. Implementing this algorithm withing a python function.
  2. Using the GNU Scientific Library (GSL) from within a SAGE program. More specifically this GSL function.
  3. Using R from SAGE with the fBasic R package.

Best Regards.

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Finally option 3 did the job.

juanpool gravatar imagejuanpool ( 2013-01-16 09:39:54 +0100 )edit

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Asked: 2012-04-11 18:56:26 +0100

Seen: 1,025 times

Last updated: Apr 11 '12