Abstract
Closed forms are derived for the probability density function (PDF) of the stable distribution S α (β, γ, μ), α ∈ (1, 2]. Consequent asymptotic expansions are given. Numerical evidence is given to show superior performance versus the most common way to compute a stable PDF.
| Original language | English |
|---|---|
| Pages (from-to) | 505-524 |
| Number of pages | 20 |
| Journal | Methodology and Computing in Applied Probability |
| Volume | 17 |
| Issue number | 2 |
| Publication status | Published - 2015 |
Keywords
- Characteristic function
- Probability density function
- Stable distribution Sα(β, γ, μ)