Re: Levy Distribution

*To*: mathgroup at smc.vnet.net*Subject*: [mg14827] Re: Levy Distribution*From*: jenningsj at mail.utexas.edu (Jim Jennings)*Date*: Wed, 18 Nov 1998 01:29:31 -0500*Organization*: University of Texas at Austin*References*: <72je3s$3f2@smc.vnet.net>*Sender*: owner-wri-mathgroup at wolfram.com

In article <72je3s$3f2 at smc.vnet.net>, "Yves Gauvreau" <gauy at videotron.ca> wrote: >Does someone know this distribution ? What is the function ? The Levey-stable distribution cannot be expresed in closed form except for special cases. The characteristic function is: p(v) = exp(i v d - |c v|^a) a is the Levy index 0<a<=2 c is the width parameter (like variance, except when a<2 variance is infinite) d is the location parameter See, for example: Painter, S, 1995, Random fractal models of heterogeneity: the Levey-stable approach, Mathematical Geology, v 27, n 7, p 813-830. Mantegna, R, N, 1994, Fast, accurate algorithm for the numerical simulation of Levey stable stochastic processes, Physical Review E, v 49, n 5, p 4677-4683. I know Scott uses Mathematica, if you can locate him he might have some useful stuff to share. -- Jim Jennings Research Associate jenningsj at mail.utexas.edu Bureau of Economic Geology (512) 471-4364 (voice) University of Texas at Austin (512) 471-0140 (fax)