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

Authors:
J. P. Nolan
Affiliations:
Department of Mathematics and Statistics, American University 4400 Massachusetts Avenue, NW Washington, D.C. 20016-8050, U.S.A.
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
1999

Citing 1
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Abstract

One of the major obstacles to the use of stable distributions in applications is the lack of formulas for their densities. A program is described to calculate a general @a-stable density for @a 0.75 and any skewness value @b.