Multivariate Namespace Reference

Namespace where all classes are defined. More...

Classes
class	AbstarctCopula
	Copulas base class. More...
class	AbstarctDistribution
	Distributions base class. More...
class	AbstractArchimedean
	Archimedean Copulas base class. More...
class	ClaytonCopula
	Clayton Copula Distribution. More...
class	GaussianCopula
	Gaussian Copula Distribution. More...
class	GumbelCopula
class	IndependenceCopula
	Independence Copula Distribution. More...
class	NormalDistribution
	Multivariate Normal Distribution More...
class	tCopula
	Student's t Copula Distribution. More...
class	tDistribution
	Multivariate Student's t Distribution More...
class	UniformDistribution

Functions
double	SimulateStable (double Alpha, double Beta, double Gamma, double Delta, unsigned int RandNumGenSeed=0)
	Simulates a draw from a stable distribution. More...

Detailed Description

Namespace where all classes are defined.

Function Documentation

double Multivariate::SimulateStable	(	double	Alpha,
		double	Beta,
		double	Gamma,
		double	Delta,
		unsigned int	RandNumGenSeed = 0
	)

Simulates a draw from a stable distribution.

Parameters

Alpha	stability parameter. Must be in the interval (0,2]
Beta	skewness parameter. Must be in the interval [-1,1]
Gamma	scale parameter. Must be greater than 0
Delta	location parameter.
RandNumGenSeed	the seed for the random number generation

Returns

A draw from a stable distribution

This function generates a random sample from a generic stable distribution

For more information, please refer to Wikipedia

The algorithm used is the one illustrated by Nolan (2009)