Re: [R] problem in generating positive stable random numbers

From: Diethelm Wuertz <wuertz_at_itp.phys.ethz.ch>
Date: Wed 31 Aug 2005 - 08:32:51 EST

X. Cong wrote:

>Dear all,
>
>I am trying to use the
>rstable(n, alpha, beta, gamma = 1, delta = 0, pm = c(0, 1, 2)))
>
> function to generate positive stable random numbers. For positive stable
>distribution, beta==1 and alpha is in (0,1), which defines random variables
>with support (0, infinity).
>

Just a remark - rstable() is from R-package fBasics ... 1) I think the support for beta=1 and alpha = 1/2 is (-1, infinity), isn't it? - Then everything is fine.
2) beta ==1 is a difficult value for numerical computations, try also beta = 1-1e-8!
3) Use the program stable.exe from
http://academic2.american.edu/~jpnolan/stable/stable.html for comparison! 4) Take care in which parametrization you work ...

Best regards
Diethelm

Remark for 3)

  STABLE 3.14.02 (2005/02/28) Serial number 131   Copyright 1997-2003 John P. Nolan (jpnolan@american.edu)

  Output file: stable.out

  Current tolerance settings:
   -1 debug (F)
    1 relative error for pdf ( 0.1200000000E-13)     2 relative error for cdf ( 0.1200000000E-13)     3 relative error for quantiles ( 0.1200000000E-13)     4 alpha and beta rounding ( 0.1000000000E-01)     5 x tolerance near zeta ( 0.5000000000E-02)     6 exponential cutoff ( 200.0000000 )     7 peak/strim location tolerance ( 0.1000000000E-13)     8 strim tolerance ( 0.1000000000E-50)     9 minimum alpha ( 0.1000000000 )
   10 minimum xtol ( 0.1000000000E-12)
   11 threshold for quantile search ( 0.1000000000E-09)

   8/30/2005 23:59:34.72

          Simulation of stable random variables
          n=      10   iseed=             -1   iparam=    0
               alpha      beta     gamma     delta
             0.50000   1.00000   1.00000   0.00000

   39.6516320412757
  0.247648247004956
   12.3195079629881

 -0.146866807337654    
  0.640815989111718    
  0.219559949961403    

   3.05027005351445
 -0.667188061257615
   4.02760809108209
 -0.588547074136516

>So, I used rstable(100, 0.5, 1) for an example.
>I found that this gives me some negative numbers. For example,
>
>
>
>>rstable(10, 0.5, 1)
>>
>>
> [1] 6.3016252 399.3659030 11.2735789 1.9550625 -0.6762333 1.6810761
> [7] 0.9091360 1.9100991 -0.7593737 24.2788471
>
>Does anybody know why this should happen?
>
>Thanks a lot,
>Julie
>
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>
>
>



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Aug 31 08:41:24 2005

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