2024-03-29T14:36:16Zhttp://uvadoc.uva.es/oai/requestoai:uvadoc.uva.es:10324/151552021-06-23T13:27:17Zcom_10324_1191com_10324_931com_10324_894col_10324_1379
00925njm 22002777a 4500
dc
Royuela del Val, Javier
author
Simmross Wattenberg, Federico Jesús
author
Alberola López, Carlos
author
2015
-stable distributions are a wide family of probability distributions used in many
elds where probabilistic approaches are taken. However, the lack of closed analytical
expressions is a major drawback for their application. Currently, several tools have been
developed to numerically evaluate their density and distribution functions or estimate
their parameters, but available solutions either do not reach su cient precision on their
evaluations or are too slow for several practical purposes. Moreover, they do not take full
advantage of the parallel processing capabilities of current multi-core machines. Other solutions
work only on a subset of the -stable parameter space. In this paper we present a
C/C++ library and a MATLAB front-end that allows fully parallelized, fast and high precision
evaluation of density, distribution and quantile functions (PDF, CDF and CDF1
respectively), random variable generation and parameter estimation of -stable distributions
in their whole parameter space. The library provided can be easily integrated on
third party developments.
Journal of Statistical Software
http://uvadoc.uva.es/handle/10324/15155
Alpha-stable distributions
Numerical calculation
Parallel processing
Libstable: Fast, Parallel and High-Precision Computation of -Stable Distributions in C/C++ and MATLAB