qSaS {SymTS}

Quantile Function of Symmetric Stable Distribution

Description

Evaluates the quantile function for the symmetric alpha stable distribution. For alpha=1 this is the Cauchy distribution.

Usage

qSaS(x, alpha, c = 1, mu = 0)

Arguments

x

Vector of points.

alpha

Index of stability; Number in (0,2)

c

Scale parameter, c>0

mu

Location parameter, any real number

Details

The characteristic function is

f(t) = e^(-c |t|^alpha) *e^(i*t*mu).

Author(s)

Michael Grabchak and Lijuan Cao

References

G. Samorodnitsky and M. Taqqu (1994). Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. Chapman & Hall, Boca Raton.

Examples

x = (1:9)/10
qSaS(x,.5)