🚀 A library designed to facilitate work with probability, statistics and stochastic calculus
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Updated
Jun 20, 2023 - C++
🚀 A library designed to facilitate work with probability, statistics and stochastic calculus
Alpha stable and sub-Gaussian distributions in Julia
R package for estimation of the four parameters of stable distributions. The package also provides functions to compute characteristic functions and tools to run Monte Carlo simulations.
LandauDistribution Double Precision
SaSPoint5Distribution Double Precision Implement
Landau Distribution Numeric Computation Memo
MapAiryDistribution Double Precision Implement
SαS Point5 Distribution Numeric Computation Memo
Map-Airy Distribution Numeric Computation Memo
HoltsmarkDistribution Double Precision Implement
Holtsmark Distribution Numeric Computation Memo
A method for generating n random values, sampled from a Levy alpha stable distribution. It is useful for Levy adjusted random walks and financial risk modelling.
Accuracy and performance benchmark of stable ("fat-tailed") distribution libraries in Python.
Double-Double Statistic Implements
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