Robert H. Rimmer
John P. Nolan
A Mathematica package for the computation of stable distributions is demonstrated. Calculations of stable density, distribution, and quantile functions can be performed and stable random variables generated. Data can be fit to stable parameters by the maximum likelihood method. Extreme precision calculations are possible. The StableDistribution package and documentation are provided in the Additional Material section.
Notebook
PDF
HTML
Introduction
Parameterizations of Stable Laws
Using the Package
Program Accuracy, Limitations, and Versatility
MathLink Implementation
References
Additional Material
 
About the Authors
Robert H. Rimmer received his M.D. degree from the State University of New York. He is a clinical cardiologist with an interest in mathematics. He became interested in stable distributions after reading The Fractal Geometry of Nature by B. B. Mandelbrot in the 1980s. He has been programming with Mathematica as a hobby since 1988.
John P. Nolan received his Ph.D. in mathematics from the University of Virginia. He is a professor at American University in Washington, DC, where he teaches and does research on stable distributions and statistical genetics.
Robert H. Rimmer
HC 4, Box 3C
Payson, AZ 855419571
rrimmer@npgcable.com
John P. Nolan
Math/Stat Department
227 Gray Hall
American University
4400 Massachusetts Avenue, NW
Washington, DC 200168050
jpnolan@american.edu
