Re: [math] Levy distribution

Thanks, I see. So there is a sample generator for Levy. It might be not that easy for stable distributions. I should start with naive implementation. Pavel On Dec 21, 2010, at 23:32 PM, Phil Steitz wrote: > On Tue, Dec 21, 2010 at 5:03 PM, Pavel Ryzhov wrote: > >> No, right now. >> >> But i'l

Re: [math] Levy distribution

On Tue, Dec 21, 2010 at 5:03 PM, Pavel Ryzhov wrote: > No, right now. > > But i'll definitely make sample generation as i'm writing small Monte Carlo > engine. > My current plan is: > 1. Levy distribution as the first step for contribution. > 2. Stable distribution and generic distributions by cha

Re: [math] Levy distribution

No, right now. But i'll definitely make sample generation as i'm writing small Monte Carlo engine. My current plan is: 1. Levy distribution as the first step for contribution. 2. Stable distribution and generic distributions by characteristic function. I've already started working on it. 3. Gen

Re: [math] Levy distribution

Sounds interesting to have to me. Do you generate samples? On Tue, Dec 21, 2010 at 12:38 PM, Pavel Ryzhov wrote: > Hi, > > I've implemented Levy distribution on top of commons-math. The > implementation is pretty straightforward by > http://en.wikipedia.org/wiki/Lévy_distribution

Re: [math] Levy distribution

On Tue, Dec 21, 2010 at 3:38 PM, Pavel Ryzhov wrote: > Hi, > > I've implemented Levy distribution on top of commons-math. The > implementation is pretty straightforward by > http://en.wikipedia.org/wiki/Lévy_distributionSo > it was not a big de

[math] Levy distribution

Hi, I've implemented Levy distribution on top of commons-math. The implementation is pretty straightforward by http://en.wikipedia.org/wiki/Lévy_distribution So it was not a big deal. The distribution is of interest to the financial modeling, so it might worth to include it into the library. S