Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics

DOI10.1007/S11222-017-9725-YzbMATH Open1384.65024arXiv1607.04247OpenAlexW2489559667MaRDI QIDQ144909FDOQ144909

Authors: Sebastian Ament, Michael O'Neil, Sebastian Ament, Michael O'Neil 

Publication date: 12 January 2017

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: Stable distributions are an important class of infinitely-divisible probability distributions, of which two special cases are the Cauchy distribution and the normal distribution. Aside from a few special cases, the density function for stable distributions has no known analytic form, and is expressible only through the variate's characteristic function or other integral forms. In this paper we present numerical schemes for evaluating the density function for stable distributions, its gradient, and distribution function in various parameter regimes of interest, some of which had no pre-existing efficient method for their computation. The novel evaluation schemes consist of optimized generalized Gaussian quadrature rules for integral representations of the density function, complemented by various asymptotic expansions near various values of the shape and argument parameters. We report several numerical examples illustrating the efficiency of our methods. The resulting code has been made available online.

Full work available at URL: https://arxiv.org/abs/1607.04247

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zbMATH Keywords

\(\alpha\)-stablegeneralized Gaussian quadratureinfinitely divisible distributionsnumerical quadraturestable distributions

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Numerical quadrature and cubature formulas (65D32)

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Cited In (12)

• Calibrated FFT-based density approximations for \(\alpha\)-stable distributions
• On a structure-preserving numerical method for fractional Fokker-Planck equations
• Practical rules for summing the series of the Tweedie probability density function with high-precision arithmetic
• Accurate dense output formula for exponential integrators using the scaling and squaring method
• Accurate Stationary Densities with Partitioned Numerical Methods for Stochastic Differential Equations
• Computing the probability density function of the stable Paretian distribution
• Testing nonlinearity of heavy-tailed time series
• Bayesian inversion with α-stable priors
• Conformal accelerations method and efficient evaluation of stable distributions
• stabreg
• Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
• A Bayesian approach for estimating the parameters of an α-stable distribution

Uses Software

• STABLE
• Chebfun
• Landau

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