asmlevy

Generates an Alpha-Stable Levy Motion

Syntax

ASM = asmlevy(N,ALPHA,BETA)
ASM = asmlevy(...,SEED)

Description

ASM = asmlevy(N,ALPHA,BETA) Generates the alpha-stable Levy motion, ASM, using a sample size, N, a stability parameter, ALPHA, and a skewness parameter, BETA. N is a positive integer, ALPHA is a real in (0,2) and BETA is a real in [-1,1]. The symetric distribution corresponds to BETA = 0.

ASM = asmlevy(...,SEED) Generates the alpha-stable Levy motion, ASM, with a specific random seed, SEED. This is useful to generate the same path several times or to compare the paths of different ASMs.

Examples

See Also

asmlinfrac, asmornhulen, msmlevy

References

[1] P. Bratley, B.L. Fox, and L.E. Schrage "A guide to simulation",Springer-Verlag (1983).

[2] J.M. Chambers, C.L. Mallows, B.W. Stuck "A method for simulating stable random variables", JASA,VOL.71, NO. 354, PP.340-344 (1976, correction in 1986).