View source for Stable distribution

{{Short description|Distribution of variables which satisfies a stability property under linear combinations}}
{{Distinguish|Stationary distribution}}

{{Probability distribution
  | name       = Stable
  | type       = continuous
  | pdf_image  = [[Image:Levy distributionPDF.svg|325px|Symmetric stable distributions]]<br /><small>Symmetric <math>\alpha</math>-stable distributions with unit scale factor</small><br />[[Image:Levyskew distributionPDF.svg|325px|Skewed centered stable distributions]]<br /><small>Skewed centered stable distributions with unit scale factor</small>
  | cdf_image  = [[Image:Levy distributionCDF.svg|325px|CDFs for symmetric <math>\alpha</math>'-stable distributions]]<br /><small>CDFs for symmetric <math>\alpha</math>-stable distributions</small> <br />[[Image:Levyskew distributionCDF.svg|325px|CDFs for skewed centered Lévy distributions]]<br /><small>CDFs for skewed centered stable distributions</small>
  | parameters = <math>\alpha \in (0,2]</math> — stability parameter <br>
<math>\beta</math> ∈ [−1, 1] — skewness parameter (note that [[skewness]] is undefined)<br>
''c'' ∈ (0, ∞) — [[scale parameter]] <br>
''μ'' ∈ (−∞, ∞) — [[location parameter]]
  | support    = 
''x'' ∈ [''μ'', +∞) if <math>\alpha < 1</math> and <math>\beta=1</math>

''x'' ∈ (-∞, ''μ''] if <math>\alpha < 1</math> and <math>\beta = -1</math>

''x'' ∈ '''R''' otherwise
  | pdf        = not analytically expressible, except for some parameter values
  | cdf        = not analytically expressible, except for certain parameter values
  | mean       = ''μ'' when <math>\alpha > 1</math>, otherwise undefined
  | median     = ''μ'' when <math>\beta = 0</math>, otherwise not analytically expressible
  | mode       = ''μ'' when <math>\beta = 0</math>, otherwise not analytically expressible
  | variance   = 2''c''<sup>2</sup> when <math>\alpha = 2</math>, otherwise infinite
  | skewness   = 0 when <math>\alpha = 2</math>, otherwise undefined
  | kurtosis   = 0 when <math>\alpha = 2</math>, otherwise undefined
  | entropy    = not analytically expressible, except for certain parameter values
  | mgf        = <math>\exp\!\big(t\mu + c^2t^2\big)</math> when <math>\alpha = 2</math>,<br> <math>\exp\!\big(t\mu - c^\alpha t^\alpha \sec(\pi\alpha/2)\big)</math> when <math>\alpha \neq 1, \beta = -1, t>0</math>,<br> <math>\exp\!\big(t\mu -c2\pi^{-1}t\ln t\big)</math> when <math>\alpha = 1,\beta=-1,t>0</math>,<br> otherwise undefined
  | char       = <math>\exp\!\Big[\; it\mu - |c\,t|^\alpha\,(1-i \beta\sgn(t)\Phi) \;\Big],</math><br>
where <math>\Phi = \begin{cases} \tan\tfrac{\pi\alpha}{2} & \text{if }\alpha \ne 1 \\ -\tfrac{2}{\pi}\log|t| & \text{if }\alpha = 1 \end{cases}</math>}}

In [[probability theory]], a [[probability distribution|distribution]] is said to be '''stable''' if a [[linear combination]] of two [[Independence (probability theory)|independent]] [[random variable]]s with this distribution has the same distribution, [[up to]] [[location parameter|location]] and [[scale parameter|scale]] parameters. A random variable is said to be '''stable''' if its distribution is stable. The stable distribution family is also sometimes referred to as the '''Lévy alpha-stable distribution''', after [[Paul Lévy (mathematician)|Paul Lévy]], the first mathematician to have studied it.<ref name="BM 1960">{{cite journal |first=B. |last=Mandelbrot |title=The Pareto–Lévy Law and the Distribution of Income |journal=International Economic Review |volume=1 |issue=2 |year=1960 |pages=79–106 |doi=10.2307/2525289 |jstor=2525289 }}</ref><ref>{{cite book |first=Paul |last=Lévy |title=Calcul des probabilités |location=Paris |publisher=Gauthier-Villars |year=1925 |oclc=1417531 }}</ref>

Of the four parameters defining the family, most attention has been focused on the stability parameter, <math>\alpha</math> (see panel). Stable distributions have <math>0 < \alpha \leq 2</math>, with the upper bound corresponding to the [[normal distribution]], and <math>\alpha=1</math> to the [[Cauchy distribution]]. The distributions have undefined [[variance]] for <math>\alpha < 2</math>, and undefined [[mean]] for <math>\alpha \leq 1</math>. The importance of stable probability distributions is that they are "[[attractor]]s" for properly normed sums of independent and identically distributed ([[iid]]) random variables. The normal distribution defines a family of stable distributions. By the classical [[central limit theorem]] the properly normed sum of a set of random variables, each with finite variance, will tend toward a normal distribution as the number of variables increases. Without the finite variance assumption, the limit may be a stable distribution that is not normal.  [[Benoit Mandelbrot|Mandelbrot]] referred to such distributions as "stable Paretian distributions",<ref>{{cite journal |first=B. |last=Mandelbrot |title=Stable Paretian Random Functions and the Multiplicative Variation of Income |journal=Econometrica |volume=29 |issue=4 |pages=517–543 |year=1961 |doi=10.2307/1911802 |jstor=1911802 }}</ref><ref>{{cite journal |first=B. |last=Mandelbrot |title=The Variation of Certain Speculative Prices |journal=The Journal of Business |volume=36 |issue=4 |pages=394–419 |year=1963 |doi=10.1086/294632 |jstor=2350970 }}</ref><ref>{{cite journal |first=Eugene F. |last=Fama |title=Mandelbrot and the Stable Paretian Hypothesis |journal=The Journal of Business |volume=36 |issue=4 |pages=420–429 |year=1963 |doi=10.1086/294633 |jstor=2350971 }}</ref> after [[Vilfredo Pareto]]. In particular, he referred to those maximally skewed in the positive direction with <math>1 < \alpha < 2</math> as "Pareto–Lévy distributions",<ref name="BM 1960"/> which he regarded as better descriptions of stock and commodity prices than normal distributions.<ref name="BM 1963">{{cite journal |last=Mandelbrot |first=B. |title=New methods in statistical economics |journal=[[The Journal of Political Economy]] |volume=71 |issue=5 |pages=421–440 |year=1963 |doi=10.1086/258792 |s2cid=53004476 }}</ref>

==Definition==
A non-[[degenerate distribution]] is a stable distribution if it satisfies the following property:

{{block indent | em = 1.5 | text = Let {{math|''X''<sub>1</sub>}} and {{math|''X''<sub>2</sub>}} be independent realizations of a [[random variable]] {{math|''X''}}. Then {{math|''X''}} is said to be '''stable''' if for any constants {{math|''a'' > 0}} and {{math|''b'' > 0}} the random variable {{math|''aX''<sub>1</sub> + ''bX''<sub>2</sub>}} has the same distribution as {{math|''cX'' + ''d''}} for some constants {{math|''c'' > 0}} and {{math|''d''}}. The distribution is said to be ''strictly stable'' if this holds with {{math|1=''d'' = 0}}.<ref name=":0">{{Cite web|url = http://academic2.american.edu/~jpnolan/stable/chap1.pdf|title = Stable Distributions – Models for Heavy Tailed Data|access-date = 2009-02-21|last = Nolan|first = John P.|archive-date = 2011-07-17|archive-url = https://web.archive.org/web/20110717003439/http://academic2.american.edu/~jpnolan/stable/chap1.pdf|url-status = dead}}</ref>}}

Since the [[normal distribution]], the [[Cauchy distribution]], and the [[Lévy distribution]] all have the above property, it follows that they are special cases of stable distributions.

Such distributions form a four-parameter family of continuous [[probability distribution]]s parametrized by location and scale parameters ''μ'' and ''c'', respectively, and two shape parameters <math>\beta</math> and <math>\alpha</math>, roughly corresponding to measures of asymmetry and concentration, respectively (see the figures).

The [[Characteristic function (probability theory)|characteristic function]] <math>\varphi</math> of a probability distribution with density function <math>f</math> is the [[Fourier transform]] of <math>f.</math> The density function is then the inverse Fourier transform of the characteristic function:<ref>{{Cite web|url=https://www.randomservices.org/random/special/Stable.html| title=Stable Distributions|last=Siegrist|first=Kyle|website=www.randomservices.org|language=en|access-date=2018-10-18}}</ref>
<math display="block"> \varphi(t) = \int_{- \infty}^\infty f(x)e^{ ixt}\,dx. </math>

Although the probability density function for a general stable distribution cannot be written analytically, the general characteristic function can be expressed analytically. A random variable ''X'' is called stable if its characteristic function can be written as<ref name=":0" /><ref name=":1">{{Cite book|title = The Statistical Mechanics of Financial Markets – Springer | doi = 10.1007/b137351|last = Voit|first = Johannes|editor4-first = W|editor4-last = Thirring|editor3-first = H|editor3-last = Grosse | editor2-first = W|editor2-last = Beiglböck|editor1-first = R|editor1-last = Balian|publisher = Springer|year = 2005 | series = Texts and Monographs in Physics|isbn = 978-3-540-26285-5}}</ref>
<math display="block"> \varphi(t; \alpha, \beta, c, \mu) =  \exp \left ( i t \mu - |c t|^\alpha \left ( 1 - i \beta \sgn(t) \Phi \right ) \right ) </math>
where {{math|sgn(''t'')}} is just the [[sign function|sign]] of {{mvar|t}} and
<math display="block"> \Phi = \begin{cases}
\tan \left (\frac{\pi \alpha}{2} \right) & \alpha \neq 1 \\
- \frac{2}{\pi}\log|t| & \alpha = 1
\end{cases} </math>
''μ'' ∈ '''R'''  is a shift parameter, <math>\beta \in [-1,1]</math>, called the ''skewness parameter'', is a measure of asymmetry. Notice that in this context the usual [[skewness]] is not well defined, as for <math>\alpha < 2</math> the distribution does not admit 2nd or higher [[moment (mathematics)|moments]], and the usual skewness definition is the 3rd [[central moment]].

The reason this gives a stable distribution is that the characteristic function for the sum of two independent random variables equals the product of the two corresponding characteristic functions. Adding two random variables from a stable distribution gives something with the same values of <math>\alpha</math> and <math>\beta</math>, but possibly different values of ''μ'' and ''c''.

Not every function is the characteristic function of a legitimate probability distribution (that is, one whose [[cumulative distribution function]] is real and goes from 0 to 1 without decreasing), but the characteristic functions given above will be legitimate so long as the parameters are in their ranges. The value of the characteristic function at some value ''t'' is the complex conjugate of its value at −''t'' as it should be so that the probability distribution function will be real.

In the simplest case <math>\beta = 0</math>, the characteristic function is just a [[stretched exponential function]]; the  distribution is symmetric about ''μ'' and is referred to as a (Lévy) '''symmetric alpha-stable distribution''', often abbreviated ''SαS''.

When <math>\alpha < 1</math> and <math>\beta = 1</math>, the distribution is supported on [''μ'', ∞).

The parameter ''c'' > 0 is a scale factor which is a measure of the width of the distribution while <math>\alpha</math> is the exponent or index of the distribution and specifies the asymptotic behavior of the distribution.

=== Parametrizations ===
The parametrization of stable distributions is not unique. Nolan <ref name="Nolan2020" /> tabulates 11 parametrizations seen in the literature and gives conversion formulas. The two most commonly used parametrizations are the one above (Nolan's "1") and the one immediately below (Nolan's "0").

The parametrization above is easiest to use for theoretical work, but its probability density is not continuous in the parameters at <math>\alpha =1</math>.<ref name="Nolan 1997"/> A continuous parametrization, better for numerical work,  is<ref name=":0" />
<math display="block"> \varphi(t; \alpha, \beta, \gamma, \delta) = \exp \left (i t \delta - |\gamma t|^\alpha \left (1 - i \beta \sgn(t) \Phi \right ) \right ) </math>
where:
<math display="block"> \Phi = \begin{cases} \left ( |\gamma t|^{1 - \alpha} - 1 \right ) \tan \left (\tfrac{\pi \alpha}{2} \right )  & \alpha \neq 1 \\ - \frac{2}{\pi} \log|\gamma t| & \alpha = 1 \end{cases} </math>

The ranges of <math>\alpha</math> and <math>\beta</math> are the same as before, ''γ'' (like ''c'') should be positive, and ''δ'' (like ''μ'') should be real.

In either parametrization one can make a linear transformation of the random variable to get a random variable whose density is <math> f(y; \alpha, \beta, 1, 0) </math>. In the first parametrization, this is done by defining the new variable:
<math display="block"> y = \begin{cases} \frac{x - \mu}\gamma & \alpha \neq 1 \\  \frac{x - \mu}\gamma - \beta\frac 2\pi\ln\gamma  & \alpha = 1 \end{cases} </math>

For the second parametrization, simply use
<math display="block"> y = \frac{x-\delta}\gamma </math>
independent of <math>\alpha</math>. In the first parametrization, if the mean exists (that is, <math>\alpha > 1</math>) then it is equal to ''μ'', whereas in the second parametrization when the mean exists it is equal to <math> \delta - \beta \gamma \tan \left (\tfrac{\pi\alpha}{2} \right).</math>

===The distribution===
A stable distribution is therefore specified by the above four parameters. It can be shown that any non-degenerate stable distribution has a smooth (infinitely differentiable) density function.<ref name=":0" /> If <math> f(x; \alpha, \beta, c, \mu) </math> denotes the density of ''X'' and ''Y'' is the sum of independent copies of ''X'':
<math display="block"> Y = \sum_{i = 1}^N k_i (X_i - \mu)</math>
then ''Y'' has the density <math> \tfrac{1}{s} f(y / s; \alpha, \beta, c, 0) </math> with
<math display="block"> s = \left(\sum_{i = 1}^N |k_i|^\alpha \right )^{\frac{1}{\alpha}} </math>

The asymptotic behavior is described, for <math>\alpha < 2</math>, by:<ref name=":0" />
<math display="block"> f(x) \sim \frac{1}{|x|^{1 + \alpha}} \left (c^\alpha (1 + \sgn(x) \beta) \sin \left (\frac{\pi \alpha}{2} \right ) \frac{\Gamma(\alpha + 1) }{\pi} \right ) </math>
where Γ is the [[Gamma function]] (except that when <math>\alpha \geq 1</math> and <math>\beta  = \pm 1</math>, the tail does not vanish to the left or right, resp., of ''μ'', although the above expression is 0). This "[[heavy tail]]" behavior causes the variance of stable distributions to be infinite for all <math>\alpha <2</math>. This property is illustrated in the log–log plots below.

When <math>\alpha = 2</math>, the distribution is Gaussian (see below), with tails asymptotic to exp(−''x''<sup>2</sup>/4''c''<sup>2</sup>)/(2''c''{{radic|{{pi}}}}).

== One-sided stable distribution and stable count distribution ==
When <math>\alpha < 1</math> and <math>\beta = 1</math>, the distribution is supported on [''μ'', ∞). This family is called '''one-sided stable distribution'''.<ref name="PhysRevLett 1007">{{Cite journal| last1=Penson|first1=K. A.| last2=Górska|first2=K.| date=2010-11-17| title=Exact and Explicit Probability Densities for One-Sided Lévy Stable Distributions| journal=Physical Review Letters| volume=105 | issue=21 | pages=210604 | doi=10.1103/PhysRevLett.105.210604| pmid=21231282| arxiv=1007.0193| bibcode=2010PhRvL.105u0604P | s2cid=27497684}}</ref> Its standard distribution (''μ''&nbsp;=&nbsp;0) is defined as

:<math>L_\alpha(x) = f\left(x;\alpha,1,\cos\left(\frac{\alpha\pi}{2}\right)^{1/\alpha},0\right)</math>, where <math>\alpha < 1.</math>

Let <math>q = \exp(-i\alpha\pi/2)</math>,  its characteristic function is <math> \varphi(t;\alpha) =  \exp\left (- q|t|^\alpha \right ) </math>. Thus the integral form of its PDF is (note: <math>\operatorname{Im}(q)<0</math>)
<math display="block"> \begin{align}
L_\alpha(x)
& = \frac{1}{\pi}\Re\left[ \int_{-\infty}^\infty e^{itx}e^{-q|t|^\alpha}\,dt\right]
\\ & = \frac{2}{\pi} \int_0^\infty e^{-\operatorname{Re}(q)\,t^\alpha}
       \sin(tx)\sin(-\operatorname{Im}(q)\,t^\alpha) \,dt, \text{ or }
\\ & = \frac{2}{\pi} \int_0^\infty e^{-\text{Re}(q)\,t^\alpha}
       \cos(tx)\cos(\operatorname{Im}(q)\,t^\alpha) \,dt .
\end{align}</math>

The double-sine integral is more effective for very small <math> x</math>.

Consider the Lévy sum <math display="inline">Y = \sum_{i=1}^N X_i</math> where <math display="inline">X_i \sim L_\alpha(x)</math>, then ''Y'' has the density <math display="inline">\frac{1}{\nu} L_\alpha \left(\frac{x}{\nu}\right)</math>  where <math display="inline">\nu = N^{1/\alpha}</math>. Set <math display="inline">x = 1</math> to arrive at the '''[[stable count distribution]]'''.<ref name=":4" /> Its standard distribution is defined as

:<math>\mathfrak{N}_\alpha(\nu)=\frac \alpha {\Gamma\left(\frac{1}{\alpha}\right)} \frac1\nu L_\alpha \left(\frac{1}{\nu} \right), \text{ where } \nu > 0 \text{ and } \alpha < 1.</math>

The stable count distribution is the [[conjugate prior]] of the one-sided stable distribution. Its location-scale family is defined as

:<math>\mathfrak{N}_\alpha(\nu;\nu_0,\theta) = \frac \alpha {\Gamma(\frac{1}{\alpha})} \frac{1}{\nu-\nu_0} L_\alpha \left(\frac{\theta}{\nu-\nu_0}\right), \text{ where } \nu > \nu_0</math>, <math>\theta > 0, \text{ and } \alpha < 1.</math>

It is also a one-sided distribution supported on <math>[\nu_0,\infty)</math>. The location parameter <math>\nu_0</math> is the cut-off location, while <math>\theta</math> defines its scale.

When <math display="inline">\alpha = \frac{1}{2}</math>, <math display="inline">L_{\frac{1}{2}}(x)</math> is the [[Lévy distribution]] which is an inverse gamma distribution. Thus <math>\mathfrak{N}_{\frac{1}{2}}(\nu; \nu_0, \theta)</math> is a shifted [[gamma distribution]] of shape 3/2 and scale <math>4\theta</math>,

:<math>\mathfrak{N}_{\frac{1}{2}}(\nu;\nu_0,\theta) = \frac{1}{4\sqrt{\pi}\theta^{3/2}}
(\nu-\nu_0)^{1/2} e^{-\frac{\nu-\nu_0}{4\theta}}, \text{ where } \nu > \nu_0, \qquad \theta > 0.</math>

Its mean is <math>\nu_0 + 6\theta</math> and its standard deviation is <math>\sqrt{24}\theta</math>. It is hypothesized that [[VIX]] is distributed like <math display="inline">\mathfrak{N}_{\frac{1}{2}}(\nu;\nu_0,\theta)</math> with <math>\nu_0 = 10.4</math> and <math>\theta = 1.6</math> (See Section 7 of <ref name=":4" />). Thus the [[stable count distribution]] is the first-order marginal distribution of a volatility process. In this context, <math>\nu_0</math> is called the "floor volatility".

Another approach to derive the stable count distribution is to use the Laplace transform of the one-sided stable distribution, (Section 2.4 of <ref name=":4" />)

:<math>\int_0^\infty e^{-z x} L_\alpha(x) dx = e^{-z^\alpha}, \text{ where } > \alpha<1. </math>

Let <math>x = 1 / \nu</math>, and one can decompose the integral on the left hand side as a [[product distribution]] of a standard [[Laplace distribution]] and a standard stable count distribution,

:<math>\int_0^\infty \frac{1}{\nu} \left ( \frac{1}{2} e^{-\frac{|z|}{\nu} }\right )
\left (\frac{\alpha}{\Gamma(\frac{1}{\alpha})}  \frac{1}{\nu} L_\alpha \left(\frac{1}{\nu}\right) \right ) \, d\nu
= \frac{1}{2} \frac{\alpha}{\Gamma(\frac{1}{\alpha})} e^{-|z|^\alpha}, \text{ where } \alpha<1. </math>

This is called the "lambda decomposition" (See Section 4 of <ref name=":4" />) since the right hand side was named as "symmetric lambda distribution" in Lihn's former works. However, it has several more popular names such as "[[exponential power distribution]]", or the "generalized error/normal distribution", often referred to when <math>\alpha > 1</math>.

The n-th moment of <math>\mathfrak{N}_\alpha(\nu)</math> is the <math>-(n + 1)</math>-th moment of <math>L_\alpha(x)</math>, and all positive moments are finite.

== Properties ==
* Stable distributions are [[infinitely divisible distribution|infinitely divisible]].
* Stable distributions are [[leptokurtotic]] and [[heavy-tailed distribution]]s, with the exception of the [[normal distribution]] (<math>\alpha = 2</math>).
* Stable distributions are closed under [[convolution]].

Stable distributions are closed under convolution for a fixed value of <math>\alpha</math>. Since convolution is equivalent to multiplication of the Fourier-transformed function, it follows that the product of two stable characteristic functions with the same <math>\alpha</math> will yield another such characteristic function. The product of two stable characteristic functions is given by:
<math display="block">\exp\left (it\mu_1+it\mu_2 - |c_1 t|^\alpha - |c_2 t|^\alpha +i\beta_1|c_1 t|^\alpha\sgn(t)\Phi + i\beta_2|c_2 t|^\alpha\sgn(t)\Phi \right )</math>

Since {{math|Φ}} is not a function of the ''μ'', ''c'' or <math>\beta</math> variables it follows that these parameters for the convolved function are given by:
<math display="block">\begin{align}
\mu &=\mu_1+\mu_2 \\
c &= \left (c_1^\alpha+c_2^\alpha \right )^{\frac{1}{\alpha}} \\[6pt]
\beta &= \frac{\beta_1 c_1^\alpha+\beta_2c_2^\alpha}{c_1^\alpha+c_2^\alpha}
\end{align}</math>

In each case, it can be shown that the resulting parameters lie within the required intervals for a stable distribution.

== The Generalized Central Limit Theorem ==

The Generalized Central Limit Theorem (GCLT) was an effort of multiple mathematicians ([[Sergei Natanovich Bernstein|Berstein]], [[Jarl Waldemar Lindeberg|Lindeberg]], [[Paul Lévy (mathematician)|Lévy]], [[William Feller|Feller]], [[Andrey Kolmogorov|Kolmogorov]], and others) over the period from 1920 to 1937.
<ref>{{cite journal |last1=Le Cam |first1=L. |title=The Central Limit Theorem around 1935 |journal=Statistical Science |date=February 1986 |volume=1 |issue=1 |pages=78–91 |jstor=2245503 |url=https://www.jstor.org/stable/2245503}}</ref>
The first published complete proof (in French) of the GCLT was in 1937 by [[Paul Lévy (mathematician)|Paul Lévy]].<ref>{{cite book |last1=Lévy |first1=Paul |title=Theorie de l'addition des variables aleatoires [Combination theory of unpredictable variables] |date=1937 |publisher=Gauthier-Villars |location=Paris}}</ref>
An English language version of the complete proof of the GCLT is available in the translation of [[Boris Vladimirovich Gnedenko|Gnedenko]] and [[Andrey Kolmogorov|Kolmogorov]]'s 1954 book.<ref>{{cite book |last1=Gnedenko |first1=Boris Vladimirovich |last2=Kologorov |first2=Andreĭ Nikolaevich |last3=Doob |first3=Joseph L. |last4=Hsu |first4=Pao-Lu |title=Limit distributions for sums of independent random variables |date=1968 |publisher=Addison-wesley |location=Reading, MA}}</ref>

The statement of the GCLT is as follows:<ref name ="Nolan2020">{{cite book |last1=Nolan |first1=John P. |title=Univariate stable distributions, Models for Heavy Tailed Data |series=Springer Series in Operations Research and Financial Engineering |date=2020 |publisher=Springer |location=Switzerland |doi=10.1007/978-3-030-52915-4 |isbn=978-3-030-52914-7 |s2cid=226648987 |url=https://doi.org/10.1007/978-3-030-52915-4}}</ref>

:''A non-degenerate random variable'' ''Z'' ''is α-stable for some 0 < α ≤ 2 if and only if there is an independent, identically distributed sequence of random variables'' ''X''<sub>1</sub>, ''X''<sub>2</sub>, ''X''<sub>3</sub>, ... ''and constants'' ''a''<sub>''n''</sub> > 0, ''b''<sub>''n''</sub> ∈ ℝ ''with''

::''a''<sub>''n''</sub> (''X''<sub>1</sub> + ... + ''X''<sub>''n''</sub>) − ''b''<sub>''n''</sub> → ''Z.''

:''Here → means the sequence of random variable sums converges in distribution; i.e., the corresponding distributions satisfy'' ''F''<sub>''n''</sub>(''y'') → ''F''(''y'') ''at all continuity points of'' ''F.''

In other words, if sums of independent, identically distributed random variables converge in distribution to some ''Z'', then ''Z'' must be a stable distribution.

==Special cases==
[[Image:Levy LdistributionPDF.png|325px|thumb|Log-log plot of symmetric centered stable distribution PDFs showing the power law behavior for large ''x''. The power law behavior is evidenced by the straight-line appearance of the PDF for large ''x'', with the slope equal to <math>-(\alpha+1)</math>. (The only exception is for <math>\alpha = 2</math>, in black, which is a normal distribution.)]]
[[Image:Levyskew LdistributionPDF.png|325px|thumb|Log-log plot of skewed centered stable distribution PDFs showing the power law behavior for large ''x''. Again the slope of the linear portions is equal to <math>-(\alpha+1)</math>]]

There is no general analytic solution for the form of ''f''(''x''). There are, however, three special cases which can be expressed in terms of [[elementary functions]] as can be seen by inspection of the [[Characteristic function (probability theory)|characteristic function]]:<ref name=":0" /><ref name=":1" /><ref>{{Cite book|title = Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance|last1 = Samorodnitsky|first1 = G.|publisher = CRC Press|year = 1994|isbn = 9780412051715|url = https://www.crcpress.com/Stable-Non-Gaussian-Random-Processes-Stochastic-Models-with-Infinite-Variance/Samoradnitsky-Taqqu/9780412051715|last2 = Taqqu|first2 = M.S.}}</ref>

* For <math>\alpha = 2</math> the distribution reduces to a [[Gaussian distribution]] with variance ''σ''<sup>2</sup> = 2''c''<sup>2</sup> and mean ''μ''; the skewness parameter <math>\beta</math> has no effect.
* For <math>\alpha = 1</math> and <math>\beta = 0</math> the distribution reduces to a [[Cauchy distribution]] with scale parameter ''c'' and shift parameter ''μ''.
* For <math>\alpha = 1/2</math> and <math>\beta = 1</math> the distribution reduces to a [[Lévy distribution]] with scale parameter ''c'' and shift parameter ''μ''.

Note that the above three distributions are also connected, in the following way: A standard Cauchy random variable can be viewed as a [[Compound probability distribution|mixture]] of Gaussian random variables (all with mean zero), with the variance being drawn from a standard Lévy distribution. And in fact this is a special case of a more general theorem (See p.&nbsp;59 of <ref name=":2">{{Cite book|url=http://eprints.nottingham.ac.uk/11194/|title=Continuous and discrete properties of stochastic processes|last= Lee|first=Wai Ha|publisher=PhD thesis, University of Nottingham|year=2010}}</ref>) which allows any symmetric alpha-stable distribution to be viewed in this way (with the alpha parameter of the mixture distribution equal to twice the alpha parameter of the mixing distribution—and the beta parameter of the mixing distribution always equal to one).

A general closed form expression for stable PDFs with rational values of <math>\alpha</math> is available in terms of [[Meijer G-function]]s.<ref>{{Cite journal|title = On Representation of Densities of Stable Laws by Special Functions|journal = Theory of Probability and Its Applications|date = 1995|issn = 0040-585X|pages = 354–362|volume = 39|issue = 2|doi = 10.1137/1139025|first = V.|last = Zolotarev}}</ref> Fox H-Functions can also be used to express the stable probability density functions. For simple rational numbers, the closed form expression is often in terms of less complicated [[special functions]]. Several closed form expressions having rather simple expressions in terms of special functions are available. In the table below, PDFs expressible by elementary functions are indicated by an ''E'' and those that are expressible by special functions are indicated by an ''s''.<ref name=":2" />

{| class="wikitable" style="text-align: center;"
|-
| ||
! colspan="7" | <math>\alpha</math>
|-
| || || 1/3 || 1/2 || 2/3 || 1   || 4/3 || 3/2 || 2
|-
! rowspan="2" | <math>\beta</math>
|  0 ||  s  ||  s  ||  s  ||   '''[[Cauchy distribution|E]]''' ||  s  ||  '''[[Holtsmark distribution|s]]'''  || rowspan="2" | '''[[Normal distribution|E]]'''
|-
|  1 ||  s  ||  '''[[Lévy distribution|E]]'''  ||  s  ||  '''[[Landau distribution|L]]'''  ||     ||  s
|-
|}

Some of the special cases are known by particular names:

* For <math>\alpha = 1</math> and <math>\beta = 1</math>, the distribution is a [[Landau distribution]] ('''L''') which has a specific usage in physics under this name.
* For <math>\alpha = 3/2</math> and <math>\beta = 0</math> the distribution reduces to a [[Holtsmark distribution]] with scale parameter ''c'' and shift parameter ''μ''.

Also, in the limit as ''c'' approaches zero or as α approaches zero the distribution will approach a [[Dirac delta function]] {{math|''δ''(''x''&nbsp;−&nbsp;''μ'')}}.

==Series representation==
The stable distribution can be restated as the real part of a simpler integral:<ref name=":3">{{Cite journal|title = Theory of the pressure broadening and shift of spectral lines|journal = Advances in Physics|date = 1981|issn = 0001-8732|pages = 367–474 | volume = 30|issue = 3|doi = 10.1080/00018738100101467|first = G.|last = Peach|bibcode = 1981AdPhy..30..367P}}</ref>
<math display="block">f(x;\alpha,\beta,c,\mu)=\frac{1}{\pi}\Re\left[ \int_0^\infty e^{it(x-\mu)}e^{-(ct)^\alpha(1-i\beta\Phi)}\,dt\right].</math>

Expressing the second exponential as a [[Taylor series]], this leads to:
<math display="block">f(x;\alpha,\beta,c,\mu)=\frac{1}{\pi}\Re\left[ \int_0^\infty e^{it(x-\mu)}\sum_{n=0}^\infty\frac{(-qt^\alpha)^n}{n!}\,dt\right]</math>
where <math>q=c^\alpha(1-i\beta\Phi)</math>. Reversing the order of integration and summation, and carrying out the integration yields:
<math display="block">f(x;\alpha,\beta,c,\mu)=\frac{1}{\pi}\Re\left[ \sum_{n=1}^\infty\frac{(-q)^n}{n!}\left(\frac{i}{x-\mu}\right)^{\alpha n+1}\Gamma(\alpha n+1)\right]</math>
which will be valid for ''x''&nbsp;≠&nbsp;''μ'' and will converge for appropriate values of the parameters. (Note that the ''n''&nbsp;=&nbsp;0 term which yields a [[Dirac delta function|delta function]] in ''x''&nbsp;−&nbsp;''μ'' has therefore been dropped.) Expressing the first exponential as a series will yield another series in positive powers of ''x''&nbsp;−&nbsp;''μ'' which is generally less useful.

For one-sided stable distribution, the above series expansion needs to be modified, since <math>q=\exp(-i\alpha\pi/2)</math> and <math>q i^{\alpha}=1</math>. There is no real part to sum. Instead, the integral of the characteristic function should be carried out on the negative axis, which yields:<ref>{{Cite journal|last=Pollard|first=Howard|date=1946|title=<nowiki>Representation of e^{-x^\lambda} As a Laplace Integral</nowiki>|url=https://projecteuclid.org/euclid.bams/1183509728|journal=Bull. Amer. Math. Soc. |volume=52|pages=908|doi=10.1090/S0002-9904-1946-08672-3|via=|doi-access=free}}</ref><ref name="PhysRevLett 1007"/>
<math display="block">\begin{align}
L_\alpha(x) & =
\frac{1}{\pi}\Re\left[ \sum_{n=1}^\infty\frac{(-q)^n}{n!}\left(\frac{-i}{x}\right)^{\alpha n+1}\Gamma(\alpha n+1)\right]
\\ & =
\frac{1}{\pi}\sum_{n=1}^\infty\frac{-\sin(n(\alpha+1)\pi)}{n!}\left(\frac{1}{x}\right)^{\alpha n+1}\Gamma(\alpha n+1)
\end{align} </math>

== Parameter estimation ==
In addition to the existing [[Normality_test|tests for normality]] and subsequent [[Normal_distribution#Estimation_of_parameters | parameter estimation]], a general method which relies on the quantiles was developed by McCulloch and works for both symmetric and skew stable distributions and stability parameter <math>0.5 < \alpha \leq 2</math>.<ref>{{cite journal |last1=McCulloch |first1=J Huston |title=Simple consistent estimators of stable distribution parameters |journal=Communications in Statistics. Simulation and Computation |date=1986 |volume=15 |issue=4 |pages=1109–1136 |doi=10.1080/03610918608812563 |url=https://www.asc.ohio-state.edu/mcculloch.2/papers/stabparm.pdf}}</ref>

== Simulation of stable variates ==
There are no analytic expressions for the inverse <math>F^{-1}(x)</math> nor the CDF <math>F(x)</math> itself, so the inversion method cannot be used to generate stable-distributed variates.<ref name ="Nolan 1997">{{Cite journal|title = Numerical calculation of stable densities and distribution functions |journal = Communications in Statistics. Stochastic Models| date = 1997 | issn = 0882-0287 |pages = 759–774 | volume = 13 |issue = 4| doi = 10.1080/15326349708807450 | first = John P. | last = Nolan}}</ref><ref name=":4">{{Cite journal|last=Lihn|first=Stephen| date=2017| title=A Theory of Asset Return and Volatility Under Stable Law and Stable Lambda Distribution| url=https://ssrn.com/abstract=3046732| journal=SSRN}}</ref> Other standard approaches like the rejection method would require tedious computations. An elegant and efficient solution was proposed by Chambers, Mallows and Stuck (CMS),<ref>{{Cite journal|title = A Method for Simulating Stable Random Variables|journal = Journal of the American Statistical Association|date = 1976|issn = 0162-1459| pages = 340–344| volume = 71 |issue = 354| doi = 10.1080/01621459.1976.10480344 |first1 = J. M.|last1 = Chambers|first2 = C. L.|last2 = Mallows|first3 = B. W.|last3 = Stuck}}</ref> who noticed that a certain integral formula<ref>{{Cite book|title = One-Dimensional Stable Distributions|last = Zolotarev | first = V. M.|publisher = American Mathematical Society|year = 1986|isbn = 978-0-8218-4519-6|url-access = registration|url = https://archive.org/details/onedimensionalst00zolo_0}}</ref> yielded the following algorithm:<ref>{{Cite book | title = Heavy-Tailed Distributions in VaR Calculations|publisher = Springer Berlin Heidelberg| date = 2012|isbn = 978-3-642-21550-6|pages = 1025–1059|series = Springer Handbooks of Computational Statistics | doi = 10.1007/978-3-642-21551-3_34 |first1 = Adam | last1 = Misiorek|first2 = Rafał|last2 = Weron | url = http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_10_05.pdf | editor-first = James E.|editor-last = Gentle | editor-first2 = Wolfgang Karl| editor-last2 = Härdle| editor-first3 = Yuichi |editor-last3 = Mori}}</ref>
* generate a random variable <math>U</math> uniformly distributed on <math>\left (-\tfrac{\pi}{2},\tfrac{\pi}{2} \right )</math> and an independent [[Exponential_distribution#Random_variate_generation|exponential random variable]] <math>W</math> with mean 1;
* for <math>\alpha\ne 1</math> compute: <math display="block">X = \left (1+\zeta^2 \right )^\frac{1}{2\alpha} \frac{\sin ( \alpha(U+\xi)) }{ (\cos(U))^{\frac{1}{\alpha}}} \left (\frac{\cos (U - \alpha(U+\xi)) }{W} \right )^\frac{1-\alpha}{\alpha},</math>
* for <math>\alpha=1</math> compute: <math display="block">X = \frac{1}{\xi}\left\{\left(\frac{\pi}{2}+\beta U \right)\tan U- \beta\log\left(\frac{\frac{\pi}{2} W\cos U}{\frac{\pi}{2}+\beta U}\right)\right\},</math> where <math display="block">\zeta = -\beta\tan\frac{\pi\alpha}{2}, \qquad \xi =\begin{cases}
\frac{1}{\alpha} \arctan(-\zeta) & \alpha \ne 1 \\
\frac{\pi}{2} & \alpha=1
\end{cases}</math>

This algorithm yields a random variable <math>X\sim S_\alpha(\beta,1,0)</math>. For a detailed proof see.<ref>{{Cite journal| title = On the Chambers-Mallows-Stuck method for simulating skewed stable random variables| journal = Statistics & Probability Letters|date = 1996|pages = 165–171 |volume = 28|issue = 2|doi = 10.1016/0167-7152(95)00113-1| first = Rafał |last = Weron | citeseerx = 10.1.1.46.3280| s2cid = 9500064}}</ref>

To simulate a stable random variable for all admissible values of the parameters <math>\alpha</math>, <math>c</math>, <math>\beta</math> and <math>\mu</math> use the following property: If <math>X \sim S_\alpha(\beta,1,0)</math> then
<math display="block">Y = \begin{cases}
c X+\mu & \alpha \ne 1 \\
c X+\frac{2}{\pi}\beta c\log c + \mu & \alpha = 1
\end{cases}</math>
is <math>S_\alpha(\beta,c,\mu)</math>. For <math>\alpha = 2</math> (and <math>\beta = 0</math>) the CMS method reduces to the well known [[Box–Muller transform|Box-Muller transform]] for generating [[Normal distribution|Gaussian]] random variables.<ref>{{Cite book|title = Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes|last1 = Janicki |first1 = Aleksander | publisher = CRC Press| year = 1994|isbn = 9780824788827 | url = https://www.crcpress.com/Simulation-and-Chaotic-Behavior-of-Alpha-stable-Stochastic-Processes/Janicki-Weron/9780824788827 | last2 = Weron | first2 = Aleksander}}</ref> While other approaches have been proposed in the literature, including application of Bergström<ref>{{Cite journal|title = Fast, accurate algorithm for numerical simulation of Lévy stable stochastic processes|journal = Physical Review E|date = 1994|pages = 4677–4683| volume = 49|issue = 5| doi = 10.1103/PhysRevE.49.4677| first = Rosario Nunzio |last = Mantegna | pmid = 9961762| bibcode = 1994PhRvE..49.4677M}}</ref> and LePage<ref>{{Cite journal|title = Computer investigation of the Rate of Convergence of Lepage Type Series to α-Stable Random Variables|journal = Statistics| date = 1992|issn = 0233-1888| pages = 365–373|volume = 23|issue = 4|doi = 10.1080/02331889208802383|first1 = Aleksander|last1 = Janicki|first2 = Piotr| last2 = Kokoszka}}</ref> series expansions, the CMS method is regarded as the fastest and the most accurate.

== Applications ==
Stable distributions owe their importance in both theory and practice to the generalization of the [[central limit theorem]] to random variables without second (and possibly first) order [[moment (mathematics)|moments]] and the accompanying [[self-similarity]] of the stable family. It was the seeming departure from normality along with the demand for a self-similar model for financial data (i.e. the shape of the distribution for yearly asset price changes should resemble that of the constituent daily or monthly price changes) that led [[Benoît Mandelbrot]] to propose that cotton prices follow an alpha-stable distribution with <math>\alpha</math> equal to 1.7.<ref name="BM 1963"/> [[Lévy distribution]]s are frequently found in analysis of [[critical behavior]] and financial data.<ref name=":1" /><ref>{{Cite book|title = Stable Paretian Models in Finance|last1 = Rachev|first1 = Svetlozar T.|publisher = Wiley|year = 2000|isbn = 978-0-471-95314-2|url = http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0471953148.html|last2 = Mittnik|first2 = Stefan}}</ref>

They are also found in [[spectroscopy]] as a general expression for a quasistatically [[pressure broadening|pressure broadened spectral line]].<ref name=":3" />

The Lévy distribution of solar flare waiting time events (time between flare events) was demonstrated for [[CGRO]] BATSE hard x-ray solar flares in December 2001. Analysis of the Lévy statistical signature revealed that two different memory signatures were evident; one related to the solar cycle and the second whose origin appears to be associated with a localized or combination of localized solar active region effects.<ref>[http://www.library.unt.edu/theses/open/20013/leddon_deborah/dissertation.pdf Leddon, D., A statistical Study of Hard X-Ray Solar Flares]</ref>

== Other analytic cases ==

A number of cases of analytically expressible stable distributions are known. Let the stable distribution be expressed by <math>f(x;\alpha,\beta,c,\mu)</math>, then:

* The [[Cauchy Distribution]] is given by <math>f(x;1,0,1,0).</math>
* The [[Lévy distribution]] is given by <math>f(x;\tfrac{1}{2},1,1,0).</math>
* The [[Normal distribution]] is given by <math>f(x;2,0,1,0).</math>
* Let <math>S_{\mu,\nu}(z)</math> be a [[Lommel function]], then:<ref name="Garoni2002">{{cite journal |last1=Garoni |first1=T. M. |last2=Frankel |first2=N. E. |date=2002 |title=Lévy flights: Exact results and asymptotics beyond all orders |journal=Journal of Mathematical Physics |volume=43 |issue=5 |pages=2670–2689 |doi= 10.1063/1.1467095|bibcode=2002JMP....43.2670G}}</ref> <math display="block"> f \left (x;\tfrac{1}{3},0,1,0\right ) = \Re\left ( \frac{2e^{- \frac{i \pi}{4}}}{3 \sqrt{3} \pi}  \frac{1}{\sqrt{x^3}} S_{0,\frac{1}{3}} \left (\frac{2e^{\frac{i \pi}{4}}}{3 \sqrt{3}}  \frac{1}{\sqrt{x}} \right) \right )</math>
* Let <math>S(x)</math> and <math>C(x)</math> denote the [[Fresnel integral]]s, then:<ref name="Hopcraft1999">{{cite journal |last1=Hopcraft |first1=K. I. |last2=Jakeman |first2=E.|last3=Tanner|first3=R. M. J. |date=1999 |title=Lévy random walks with fluctuating step number and multiscale behavior |journal=Physical Review E |volume=60 |issue=5 |pages=5327–5343 |doi= 10.1103/physreve.60.5327|pmid=11970402 |bibcode=1999PhRvE..60.5327H}}</ref> <math display="block">f\left (x;\tfrac{1}{2},0,1,0\right ) = \frac{1}{{\sqrt{2\pi|x|^3}}}\left (\sin\left(\tfrac{1}{4|x|}\right) \left [\frac{1}{2} - S\left (\tfrac{1}{\sqrt{2\pi|x|}}\right )\right ]+\cos\left(\tfrac{1}{4|x|} \right) \left [\frac{1}{2}-C\left (\tfrac{1}{\sqrt{2\pi|x|}}\right )\right ]\right )</math>
* Let <math>K_v(x)</math> be the [[modified Bessel function]] of the second kind, then:<ref name="Hopcraft1999"/> <math display="block">f\left (x;\tfrac{1}{3},1,1,0\right ) = \frac{1}{\pi} \frac{2\sqrt{2}}{3^{\frac{7}{4}}} \frac{1}{\sqrt{x^3}} K_{\frac{1}{3}}\left (\frac{4\sqrt{2}}{3^{\frac{9}{4}}} \frac{1}{\sqrt{x}} \right )</math>
* Let <math>{}_mF_n</math> denote the [[hypergeometric function]]s, then:<ref name="Garoni2002"/> <math display="block">\begin{align}
 f\left (x;\tfrac{4}{3},0,1,0\right ) &= \frac{3^{\frac{5}{4}}}{4 \sqrt{2 \pi}} \frac{\Gamma \left (\tfrac{7}{12} \right ) \Gamma \left (\tfrac{11}{12} \right )}{\Gamma\left (\tfrac{6}{12} \right ) \Gamma \left (\tfrac{8}{12} \right )} {}_2F_2 \left ( \tfrac{7}{12}, \tfrac{11}{12}; \tfrac{6}{12}, \tfrac{8}{12}; \tfrac{3^3 x^4}{4^4} \right ) - \frac{3^{\frac{11}{4}}x^3}{4^3 \sqrt{2 \pi}} \frac{\Gamma \left (\tfrac{13}{12} \right ) \Gamma \left (\tfrac{17}{12} \right )}{\Gamma \left (\tfrac{18}{12} \right ) \Gamma \left (\tfrac{15}{12} \right )} {}_2F_2 \left ( \tfrac{13}{12}, \tfrac{17}{12}; \tfrac{18}{12}, \tfrac{15}{12}; \tfrac{3^3 x^4}{4^4} \right ) \\[6pt]
f\left (x;\tfrac{3}{2},0,1,0\right ) &= \frac{\Gamma \left(\tfrac{5}{3} \right)}{\pi} {}_2F_3 \left ( \tfrac{5}{12}, \tfrac{11}{12}; \tfrac{1}{3}, \tfrac{1}{2}, \tfrac{5}{6}; - \tfrac{2^2 x^6}{3^6} \right )
- \frac{x^2}{3 \pi} {}_3F_4 \left ( \tfrac{3}{4}, 1, \tfrac{5}{4}; \tfrac{2}{3}, \tfrac{5}{6}, \tfrac{7}{6}, \tfrac{4}{3}; - \tfrac{2^2 x^6}{3^6} \right ) + \frac{7 x^4\Gamma  \left(\tfrac{4}{3} \right)}{3^4 \pi ^ 2} {}_2F_3 \left ( \tfrac{13}{12}, \tfrac{19}{12}; \tfrac{7}{6}, \tfrac{3}{2}, \tfrac{5}{3}; -\tfrac{2^2 x^6}{3^6} \right)
\end{align}</math>  with the latter being the [[Holtsmark distribution]].
* Let <math>W_{k,\mu}(z)</math> be a [[Whittaker function]], then:<ref name="Zolotarev1999">{{cite journal |last1=Uchaikin |first1=V. V. |last2=Zolotarev |first2=V. M. |date=1999 |title=Chance And Stability – Stable Distributions And Their Applications |journal=VSP }}</ref><ref>{{cite journal |last=Zlotarev |first=V. M. |date=1961 |title=Expression of the density of a stable distribution with exponent alpha greater than one by means of a frequency with exponent 1/alpha |journal=Selected Translations in Mathematical Statistics and Probability (Translated from the Russian Article: Dokl. Akad. Nauk SSSR. 98, 735–738 (1954)) | volume=1 |pages=163–167 }}</ref><ref>{{cite journal |last1=Zaliapin |first1=I. V. |last2=Kagan |first2=Y. Y. |last3=Schoenberg | first3=F. P. |date=2005 |title=Approximating the Distribution of Pareto Sums |url= http://www.escholarship.org/uc/item/8940b4k8 | journal=Pure and Applied Geophysics |volume=162 |issue=6 |pages=1187–1228 |doi= 10.1007/s00024-004-2666-3 | bibcode=2005PApGe.162.1187Z |s2cid=18754585 }}</ref> <math display="block">\begin{align}
f\left (x;\tfrac{2}{3},0,1,0\right ) &= \frac{\sqrt{3}}{6\sqrt{\pi}|x|} \exp\left (\tfrac{2}{27}x^{-2}\right ) W_{-\frac{1}{2},\frac{1}{6}}\left (\tfrac{4}{27}x^{-2}\right ) \\[8pt]
f\left (x;\tfrac{2}{3},1,1,0\right ) &= \frac{\sqrt{3}}{\sqrt{\pi}|x|} \exp\left (-\tfrac{16}{27}x^{-2}\right ) W_{\frac{1}{2},\frac{1}{6}} \left (\tfrac{32}{27}x^{-2}\right ) \\[8pt]
f\left (x;\tfrac{3}{2},1,1,0\right ) &= \begin{cases} \frac{\sqrt{3}}{\sqrt{\pi}|x|} \exp\left (\frac{1}{27}x^3\right ) W_{\frac{1}{2},\frac{1}{6}}\left (- \frac{2}{27}x^3\right ) & x<0\\ {} \\ \frac{\sqrt{3}}{6\sqrt{\pi}|x|} \exp\left (\frac{1}{27}x^3\right ) W_{-\frac{1}{2},\frac{1}{6}}\left (\frac{2}{27}x^3\right ) & x \geq 0 \end{cases}
\end{align}</math>

==See also==
*[[Lévy flight]]
*[[Lévy process]]
* Other "power law" distributions
** [[Pareto distribution]]
** [[Zeta distribution]]
** [[Zipf's law|Zipf distribution]]
** [[Zipf–Mandelbrot law|Zipf–Mandelbrot distribution]]
*[[Financial models with long-tailed distributions and volatility clustering]]
*[[Multivariate stable distribution]]
*[[Discrete-stable distribution]]

== Software implementations ==
* The STABLE program for Windows is available from John Nolan's stable webpage: http://www.robustanalysis.com/public/stable.html. It calculates the density (pdf), cumulative distribution function (cdf) and quantiles for a general stable distribution, and performs maximum likelihood estimation of stable parameters and some exploratory data analysis techniques for assessing the fit of a data set.
* The [[GNU Scientific Library]] which is written in [[C (programming language)|C]] has a package ''randist'', which includes among the Gaussian and Cauchy distributions also an implementation of the Levy alpha-stable distribution, both with and without a skew parameter.
* [http://www.lpi.tel.uva.es/stable libstable] is a [[C (programming language)|C]] implementation for the Stable distribution pdf, cdf, random number, quantile and fitting functions (along with a benchmark replication package and an R package).
* [[R (programming language)|R]] Package [https://cran.r-project.org/web/packages/stabledist/stabledist.pdf 'stabledist'] by Diethelm Wuertz, Martin Maechler and Rmetrics core team members.  Computes stable density, probability, quantiles, and random numbers.
* [[Python (programming language)|Python]] implementation is located in [https://docs.scipy.org/doc/scipy/reference/generated/scipy.stats.levy_stable.html scipy.stats.levy_stable] in the [[SciPy]] package.
* [[Julia (programming language)|Julia]] provides package [https://github.com/jaksle/StableDistributions.jl StableDistributions.jl] which has methods of generation, fitting, probability density, cumulative distribution function, characteristic and moment generating functions, quantile and related functions, convolution and affine transformations of stable distributions. It uses modernised algorithms improved by John P. Nolan.<ref name="Nolan2020" />

==References==
{{Reflist|30em}}

{{ProbDistributions|continuous-infinite}}

[[Category:Continuous distributions]]
[[Category:Probability distributions with non-finite variance]]
[[Category:Power laws]]
[[Category:Stable distributions| ]]
[[Category:Stability (probability)]]