Skip to content

RNG for alpha stable isn't correct #38

@tom-plaa

Description

@tom-plaa

I was doing some numerical tests where I ended up comparing rng results from this package by using the characteristic function of the target distribution. At least for alpha in (1,2), the results here do not coincide with the results from inverting the cdf.

It has to do with the (1-alpha)/alpha exponent not being applied to the trignometric functions and also maybe with the generation of the exponential random variable. The formula here is definitely not correct.

I have made a few tests on my machine with some corrections and they seem to work, so I will submit a fix in the near future and we can evaluate the results.

I created this issue to raise awareness, as I plan to submit a fix to this in the next few days/weeks.

Metadata

Metadata

Assignees

Labels

No labels
No labels

Type

No type

Projects

No projects

Milestone

No milestone

Relationships

None yet

Development

No branches or pull requests

Issue actions