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STBL: Alpha stable distributions for MATLAB

version 1.1 (156 KB) by

Functions to handle one-dimensional alpha stable distributions

4.57143
18 Ratings

48 Downloads

Updated

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

Comments and Ratings (21)

Jeff tsai

Yanyi Yuan

lightinsnow

Very helpful for the reseachers who are not good at statistics

Baohua Zhou

Hi...Thanks for sharing...Is there an applicable range of the code regarding the parameter alpha? Or it is accurate through the whole range [0, 2]? Thanks.

I could not see this file!!

Jane C

Jane C (view profile)

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.

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

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?

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?

Soum

Soum (view profile)

Unimelb

Unimelb (view profile)

nice toolbox

Matthew

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.

Peter Nave

Excellent!

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.

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

Robert Macrae

Simple to use, seems to do the job.

Updates

1.1

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

MATLAB Release
MATLAB 7.7 (R2008b)
Acknowledgements

Inspired: Levy PSO

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