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STBL: Alpha stable distributions for MATLAB

  • stblcdf(x,alpha,beta,gam,...
  • stblfit(X,varargin)
    PARAMS = STBLFIT(X) returns an estimate of the four parameters in a
  • stblinv(u,alpha,beta,gam,...
    X = STBLINV(U,ALPHA,BETA,GAM,DELTA) returns values of the inverse CDF of
  • stblpdf(x,alpha,beta,gam,...
  • stblrnd(alpha,beta,gamma,...
    STBLRND alpha-stable random number generator.
  • View all files
4.1
4.1 | 12 ratings Rate this file 72 Downloads (last 30 days) File Size: 27.2 KB File ID: #37514 Version: 1.1
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STBL: Alpha stable distributions for MATLAB

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16 Jul 2012 (Updated )

Functions to handle one-dimensional alpha stable distributions

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Description

This package contains functions to handle one dimensional alpha stable distributions. Included:
Alpha stable random number generator
Alpha stable PDF calculator
Alpha stable CDF calculator
Alpha stable inverse CDF calculator
Stable fit function for one-dimensional data

For documentation, see http://math.bu.edu/people/mveillet/html/alphastablepub.html

Acknowledgements

This file inspired Levy Pso.

Required Products Statistics and Machine Learning Toolbox
MATLAB release MATLAB 7.7 (R2008b)
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Comments and Ratings (13)
20 May 2015 Isma

Isma (view profile)

Could the toolbox's author please contact me by email as i found errors to share in coding stblpdf so far? cheers.

25 Mar 2015 Isma

Isma (view profile)

Thanks for the code. However, it's worth pointing that Koutrouvelis use Fama & Roll in the SCF. Thus it's not a bad idea to use the McCulloh approach (adequate for asymmetric distributions) for the initial spread and location estimates.
Technically, the code works with the 'percentile' option (McCulloh) and not with 'ecf' (for some reasons) on my side. As error I get: Warning: X is rank deficient to within machine precision.
> In regress at 84
In stblfit at 127
Warning: X is rank deficient to within machine precision.
> In regress at 84
In stblfit at 169
Undefined function or variable "bestparams". ps: Weird as bestpararms has already been defined as column vector.

Cheers

04 Nov 2014 Soum

Soum (view profile)

Thank for the code I want to ask if when I fit data to alpha stable distribution means I forced them to destribute as alpha stable ?or ,what does fit mean?

Comment only
04 Nov 2014 Soum

Soum (view profile)

 
04 Nov 2014 Soum

Soum (view profile)

Thank for the code I want to ask if when I fit data to alpha stable distribution means I forced them to destribute as alpha stable ?or ,what does fit mean?

16 Aug 2014 Unimelb

Unimelb (view profile)

nice toolbox

05 Aug 2014 Matthew  
26 Jun 2014 David

David (view profile)

There is an issue trying to use the stblcdf on a matrix of points, some of the lines of code use 'any' which returns a vector. The result a silent returning some entries to be zero.

13 Feb 2014 Peter Nave

Excellent!

10 Dec 2013 Dong

Dong (view profile)

Thanks a lot for the code. It's been really helpful for my research. For stbfit, is it possible to specify some of the 4 parameters and only fit the rest?

best regards.

19 Sep 2013 Jesus

Jesus (view profile)

Great code!!, It helped me a lot to understand stable distributions, Thanks.

Do you have by chance any library for LFSN?

Regards

01 Mar 2013 Arnav

Arnav (view profile)

 
15 Oct 2012 Robert Macrae

Simple to use, seems to do the job.

Updates
05 Aug 2014 1.1

Fixed a bug where any() was misused in stblpdf, stblcdf and stblinv.

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