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STABLERND: MATLAB function to generate random numbers from the stable distribution

Author

Listed:
  • Rafal Weron

    () (Wroclaw University of Technology)

Abstract

STABLERND returns a matrix of random numbers drawn from the stable distribution with characteristic exponent ALPHA, skewness BETA, scale SIGMA and location MU. STABLERND uses a variant of the Chambers-Mallows-Stuck (1976) method and allows to select the S0 or S (S1) parametrization.

Suggested Citation

  • Rafal Weron, 2010. "STABLERND: MATLAB function to generate random numbers from the stable distribution," Statistical Software Components M429003, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:m429003
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/s/stablernd.m
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