rSaS {SymTS}

Simulation from Symmetric Stable Distribution

Description

Simulates from the symmetric alpha stable distribution. When alpha=1 this is the Cauchy distribution. The simulation is performed using a well-known approah. See for instance Proposition 1.7.1 in Samorodnitsky and Taqqu (1994).

Usage

rSaS(r, alpha, c = 1, mu = 0)

Arguments

r

Number of observations.

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

rSaS(10,.5)