AlphaStableDistributions

This library is a port of functionality from arlpy. The two distributions supported are

alpha-stable distribution (rand and fit)
alpha sub-Gaussian distribution with memory (rand and fit)

Installation

using Pkg; pkg"add https://github.com/org-arl/AlphaStableDistributions.jl"

Usage

julia> using AlphaStableDistributions
julia> d1 = AlphaStable()
AlphaStable{Float64}(α=1.5, β=0.0, scale=1.0, location=0.0)
julia> s = rand(d1, 100000);
julia> d2 = fit(AlphaStable, s, alg=QuickSort) # See ThreadsX.QuickSort for a threaded algorithm
AlphaStable{Float64}(α=1.4748701622930906, β=0.0, scale=1.006340087707924, location=-0.0036724481641865715)
julia> x = rand(AlphaSubGaussian(n=9600));
julia> plot(x)

window

Credits

Julia code by @ymtoo and @baggepinnen, original implementation by @mchitre and others.