Stable Distribution Function

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The simple algorithm used in this Demonstration can calculate the stable distribution function and its first several derivatives with good accuracy for . It is offered to help with financial analysis where the data generally has the shape parameter greater than 1. The Nolan 1-parameterization is used where the parameters have the characteristics listed below.

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is the distribution shape parameter, . For the result is the normal distribution; is the tail exponent of the distribution: lower values give fatter tails.

is the skewness parameter in the range (-1, 1).

is the scale parameter.

is the location parameter; when as in this Demonstration is the expectation of the distribution.

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Contributed by: Bob Rimmer (March 2011)
Open content licensed under CC BY-NC-SA


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