XploRe Help : rndstab

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library:	distribs
See also:	rndsstab

Quantlet:		rndstab
Description:		generates arrays up to eight dimensions of pseudo-random variables with stable distribution.

Reference(s):

[1] J.M.Chambers,C.L.Mallows,B.W.Stuck (1976): "A method for simulating stable random variables", J.Amer.Statist.Assoc. 71, 340-344 [2] R.Weron (1995): "Performance of the estimators of stable law parameters", Research Report HSC/95/1, http://www.im.pwr.wroc.pl/~hugo/Publications.html

Usage:	`x=rndstab(alpha,sigma,beta,mu,d1{,...,dn})`
Input:
	`alpha`	scalar, characteristic exponent
	`sigma`	scalar, scale parameter
	`beta`	scalar, skewness parameter
	`mu`	scalar, location parameter
	`d1, ..., dn`	scalars , numbers of elements in dimension 1, ..., n; 1 <= n <= 8
Output:
	`x`	d1 x d2 x ... x dn matrix, pseudo-random variables with symmetric stable distribution

Example:

library("distribs") randomize(101) rndstab(1.6,1,0,1,2,3)

Result:

Contents of x
[1,] -0.69082   5.0095  0.37195
[2,]   2.9164   2.3074   1.7262

Author: S.Borak, R.Weron, 20021019 license MD*Tech