SymTS (version 1.0-2)

pSaS: CDF of Symmetric Stable Distribution

Description

Evaluates the cdf for the symmetric alpha stable distribution. For alpha=1 this is the Cauchy distribution.

Usage

pSaS(x, alpha, c = 1, mu = 0)

Arguments

x

Vector of probabilities.

alpha

Index of stability; Number in (0,2)

c

Scale parameter, c>0

mu

Location parameter, any real number

Author

Michael Grabchak and Lijuan Cao

Details

The integration is preformed using the QAWF method in the GSL library for C. The characteristic function is

f(t) = e^(-c |t|^alpha) *e^(i*t*mu).

References

G. Samorodnitsky and M. Taqqu (1994). Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. Chapman & Hall, Boca Raton.

Examples

x = (-10:10)/10
pSaS(x,.5)