Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
libstable: Fast, Parallel, and High-Precision Computation of α-Stable Distributions in R, C/C++, and MATLAB | Royuela-del-Val | Journal of Statistical Software
Authors: Javier Royuela-del-Val, Federico Simmross-Wattenberg, Carlos Alberola-López
Title: libstable: Fast, Parallel, and High-Precision Computation of α-Stable Distributions in R, C/C++, and MATLAB
Abstract: α-stable distributions are a family of well-known probability distributions. However, the lack of closed analytical expressions hinders their application. Currently, several tools have been developed to numerically evaluate their density and distribution functions or to estimate their parameters, but available solutions either do not reach sufficient precision on their evaluations or are excessively slow for practical purposes. Moreover, they do not take full advantage of the parallel processing capabilities of current multi-core machines. Other solutions work only on a subset of the α-stable parameter space. In this paper we present an R package and a C/C++ library with a MATLAB front-end that permit parallelized, fast and high precision evaluation of density, distribution and quantile functions, as well as random variable generation and parameter estimation of α-stable distributions in their whole parameter space. The described library can be easily integrated into third party developments.

Page views:: 1434. Submitted: 2013-11-17. Published: 2017-06-01.
Paper: libstable: Fast, Parallel, and High-Precision Computation of α-Stable Distributions in R, C/C++, and MATLAB     Download PDF (Downloads: 773)
Supplements:
libstable_v1.0.tar.gz: C/C++ library with MATLAB front-end Download (Downloads: 79; 475KB)
libstableR_1.0.tar.gz: R source package Download (Downloads: 66; 50KB)
v78i01-replication.zip: Replication material Download (Downloads: 42; 1MB)

DOI: 10.18637/jss.v078.i01

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