Package jdistlib.finance

Class StableDistribution

java.lang.Object

jdistlib.generic.GenericDistribution

jdistlib.finance.StableDistribution

All Implemented Interfaces:

TransformDistribution, SupportedDistribution

public final class StableDistribution
extends GenericDistribution
implements SupportedDistribution, TransformDistribution

Univariate alpha-stable law in Nolan's S1 parameterization.

Field Summary

Fields inherited from class jdistlib.generic.GenericDistribution

random

Constructor Summary

Constructors

Constructor	Description
StableDistribution(double alpha, double beta, double scale, double location)

Method Summary

Modifier and Type	Method	Description
double	cumulative(double x, boolean lowerTail, boolean logP)
double	density(double x, boolean log)
static StableDistribution	fromS0(double alpha, double beta, double scale, double locationS0)	Converts Nolan S0 location to this class's canonical S1 location.
double	getAlpha()
double	getBeta()
double	getLocation()
double	getLowerBound()
double	getScale()
double	getUpperBound()
Complex	logCharacteristic(double frequency)
Complex	logMomentGenerating(double argument)
double	lowerTailAsymptotic(double x)	Leading left-tail probability for large positive distance from location.
boolean	momentExists(double order)
TransformDomain	momentGeneratingDomain()
double	quantile(double probability, boolean lowerTail, boolean logP)
double	random()
double	upperTailAsymptotic(double x)	Leading right-tail probability for large positive distance from location.

Methods inherited from class jdistlib.generic.GenericDistribution

copyBackward, cumulative, cumulative, cumulative, cumulative_hazard, cumulative_hazard, cumulativeInto, density, density, densityInto, getRandomEngine, hazard, hazard, inverse_survival, inverse_survival, quantile, quantile, quantile, quantileInto, random, random, randomInto, setRandomEngine, survival, survival, survival

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

StableDistribution

public StableDistribution(double alpha,
 double beta,
 double scale,
 double location)

Method Details

fromS0

public static StableDistribution fromS0(double alpha,
 double beta,
 double scale,
 double locationS0)

Converts Nolan S0 location to this class's canonical S1 location.

getAlpha

public double getAlpha()

getBeta

public double getBeta()

getScale

public double getScale()

getLocation

public double getLocation()

momentExists

public boolean momentExists(double order)

upperTailAsymptotic

public double upperTailAsymptotic(double x)

Leading right-tail probability for large positive distance from location.

lowerTailAsymptotic

public double lowerTailAsymptotic(double x)

Leading left-tail probability for large positive distance from location.

density

public double density(double x,
 boolean log)

Specified by:

density in class GenericDistribution

cumulative

public double cumulative(double x,
 boolean lowerTail,
 boolean logP)

Specified by:

cumulative in class GenericDistribution

quantile

public double quantile(double probability,
 boolean lowerTail,
 boolean logP)

Specified by:

quantile in class GenericDistribution

random

public double random()

Specified by:

random in class GenericDistribution

logCharacteristic

public Complex logCharacteristic(double frequency)

Specified by:

logCharacteristic in interface TransformDistribution

logMomentGenerating

public Complex logMomentGenerating(double argument)

Specified by:

logMomentGenerating in interface TransformDistribution

momentGeneratingDomain

public TransformDomain momentGeneratingDomain()

Specified by:

momentGeneratingDomain in interface TransformDistribution

getLowerBound

public double getLowerBound()

Specified by:

getLowerBound in interface SupportedDistribution

getUpperBound

public double getUpperBound()

Specified by:

getUpperBound in interface SupportedDistribution