rstable.posit: Positive alpha-stable distribution.
Description
Random variable generator
Usage
rstable.posit(alpha = 0.5)
Value
A realization of the alpha-stable random variable.
Arguments
- alpha
The parameter of the alpha-stable random variable
Details
An alpha-stable random variable \(S\) with index \(\alpha\) is
defined by its Laplace transform
\(E(exp(tS))) = exp(-t^\alpha)\). The algorithm used here is directly derived from Stephenson (2003).
References
STEPHENSON, A. (2003). Simulating multivariate extreme value distributions of logistic type. Extremes 6, 49-59.