qSaS: Quantile Function of Symmetric Stable Distribution
Description
Evaluates the quantile function for the symmetric alpha stable distribution. For alpha=1 this is the Cauchy distribution.
Usage
qSaS(x, alpha, c = 1, mu = 0)
Arguments
- x
Vector of points.
- 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 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.