Libstable: Fast, Parallel and High-Precision Computation of alpha-Stable Distributions in R, C/C++ and MATLAB.
J. Royuela-del-Val, F. Simmross-Wattenberg, C. Alberola-López, “Libstable: Fast, parallel and high-precision computation of α-stable distributions in R, C/C++ and MATLAB,“ Journal of Statistical Software (in press).
C/C++ library with MATLAB front-end [Download]
R package [Download]
α-stable distributions are a family of well-known probability distributions. However, the lack of closed analytical expressions hinders their application. Libstable consists of an R package, a C/C++ library and a MATLAB front-end that permits fully parallelized, fast and high precision evaluation of density, distribution and quantile functions (PDF, CDF and CDF-1 respectively), random variable generation and parameter estimation of α-stable distributions in their whole parameter space. The library can be easily integrated on third party developments.