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

DOI10.1007/s11222-017-9725-yzbMath1384.65024arXiv1607.04247OpenAlexW2489559667MaRDI QIDQ144909

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)

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

zbMATH Keywords

infinitely divisible distributionsnumerical quadraturestable distributions\(\alpha\)-stablegeneralized Gaussian quadrature

Mathematics Subject Classification ID

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

Related Items

On a structure-preserving numerical method for fractional Fokker-Planck equations ⋮ A Bayesian approach for estimating the parameters of an α-stable distribution ⋮ Bayesian inversion with α-stable priors ⋮ Conformal accelerations method and efficient evaluation of stable distributions ⋮ stabreg

Uses Software

• STABLE
• Chebfun
• Landau

Cites Work

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• Generalized Gaussian Quadratures and Singular Value Decompositions of Integral Operators
• Modeling asset returns with alternative stable distributions^*
• Numerical calculation of stable densities and distribution functions
• Generalized Gaussian Quadrature Rules for Systems of Arbitrary Functions
• Some Improvements in Numerical Evaluation of Symmetric Stable Density and Its Derivatives
• Stochastic Problems in Physics and Astronomy

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