RT info:eu-repo/semantics/article
T1 Libstable: Fast, Parallel and High-Precision Computation of  -Stable Distributions in C/C++ and MATLAB
A1 Royuela del Val, Javier
A1 Simmross Wattenberg, Federico Jesús
A1 Alberola López, Carlos
K1 Alpha-stable distributions
K1 Numerical calculation
K1 Parallel processing
AB -stable distributions are a wide family of probability distributions used in many elds where probabilistic approaches are taken. However, the lack of closed analyticalexpressions is a major drawback for their application. Currently, several tools have beendeveloped to numerically evaluate their density and distribution functions or estimatetheir parameters, but available solutions either do not reach su cient precision on theirevaluations or are too slow for several practical purposes. Moreover, they do not take fulladvantage of the parallel processing capabilities of current multi-core machines. Other solutionswork only on a subset of the  -stable parameter space. In this paper we present aC/C++ library and a MATLAB front-end that allows fully parallelized, fast and high precisionevaluation of density, distribution and quantile functions (PDF, CDF and CDF􀀀1respectively), random variable generation and parameter estimation of  -stable distributionsin their whole parameter space. The library provided can be easily integrated onthird party developments.
YR 2015
FD 2015
LK http://uvadoc.uva.es/handle/10324/15155
UL http://uvadoc.uva.es/handle/10324/15155
LA eng
NO Journal of Statistical Software
DS UVaDOC
RD 23-nov-2024