Stable distribution
Probability density function Symmetric stable distributions with unit scale factor Skewed centered stable distributions with unit scale factor  
Cumulative distribution function CDFs for symmetric stable distributions CDFs for skewed centered stable distributions  
Parameters 
— stability parameter  

Support 
x ∈ [μ, +∞) if and x ∈ (∞, μ] if and x ∈ R otherwise  
not analytically expressible, except for some parameter values  
CDF  not analytically expressible, except for certain parameter values  
Mean  μ when , otherwise undefined  
Median  μ when , otherwise not analytically expressible  
Mode  μ when , otherwise not analytically expressible  
Variance  2c^{2} when , otherwise infinite  
Skewness  0 when , otherwise undefined  
Ex. kurtosis  0 when , otherwise undefined  
Entropy  not analytically expressible, except for certain parameter values  
MGF  when , otherwise undefined  
CF 

In probability theory, a distribution is said to be stable if a linear combination of two independent random variables with this distribution has the same distribution, up to location and 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 alphastable distribution, after Paul Lévy, the first mathematician to have studied it.^{[1]}^{[2]}
Of the four parameters defining the family, most attention has been focused on the stability parameter, (see panel). Stable distributions have , with the upper bound corresponding to the normal distribution, and to the Cauchy distribution. The distributions have undefined variance for , and undefined mean for . The importance of stable probability distributions is that they are "attractors" 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. Mandelbrot referred to such distributions as "stable Paretian distributions",^{[3]}^{[4]}^{[5]} after Vilfredo Pareto. In particular, he referred to those maximally skewed in the positive direction with as "Pareto–Lévy distributions",^{[1]} which he regarded as better descriptions of stock and commodity prices than normal distributions.^{[6]}
Definition[edit]
A nondegenerate distribution is a stable distribution if it satisfies the following property:
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 fourparameter family of continuous probability distributions parametrized by location and scale parameters μ and c, respectively, and two shape parameters and , roughly corresponding to measures of asymmetry and concentration, respectively (see the figures).
The characteristic function of any probability distribution is the Fourier transform of its probability density function . The density function is therefore the inverse Fourier transform of the characteristic function:^{[8]}
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^{[7]}^{[9]}
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 and , 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 , the characteristic function is just a stretched exponential function; the distribution is symmetric about μ and is referred to as a (Lévy) symmetric alphastable distribution, often abbreviated SαS.
When and , the distribution is supported by [μ, ∞).
The parameter c > 0 is a scale factor which is a measure of the width of the distribution while is the exponent or index of the distribution and specifies the asymptotic behavior of the distribution.
Parametrizations[edit]
The above definition is only one of the parametrizations in use for stable distributions; it is the most common but its probability density is not continuous in the parameters at .^{[10]}
A continuous parametrization is^{[7]}
The ranges of and 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 . In the first parametrization, this is done by defining the new variable:
For the second parametrization, we simply use
The distribution[edit]
A stable distribution is therefore specified by the above four parameters. It can be shown that any nondegenerate stable distribution has a smooth (infinitely differentiable) density function.^{[7]} If denotes the density of X and Y is the sum of independent copies of X:
The asymptotic behavior is described, for , by:^{[7]}
When , the distribution is Gaussian (see below), with tails asymptotic to exp(−x^{2}/4c^{2})/(2c√π).
Onesided stable distribution and stable count distribution[edit]
When and , the distribution is supported by [μ, ∞). This family is called onesided stable distribution.^{[11]} Its standard distribution (μ=0) is defined as
 , where .
Let , its characteristic function is . Thus the integral form of its PDF is (note: )
The doublesine integral is more effective for very small .
Consider the Lévy sum where , then Y has the density where . Set , we arrive at the stable count distribution.^{[12]} Its standard distribution is defined as
 , where and .
The stable count distribution is the conjugate prior of the onesided stable distribution. Its locationscale family is defined as
 , where , , and .
It is also a onesided distribution supported by . The location parameter is the cutoff location, while defines its scale.
When , is the Lévy distribution which is an inverse gamma distribution. Thus is a shifted gamma distribution of shape 3/2 and scale ,
 , where , .
Its mean is and its standard deviation is . It is hypothesized that VIX is distributed like with and (See Section 7 of ^{[12]}). Thus the stable count distribution is the firstorder marginal distribution of a volatility process. In this context, is called the "floor volatility".
Another approach to derive the stable count distribution is to use the Laplace transform of the onesided stable distribution, (Section 2.4 of ^{[12]})
 , where .
Let , 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,f
 , where .
This is called the "lambda decomposition" (See Section 4 of ^{[12]}) 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 .
The nth moment of is the th moment of , All positive moments are finite. This in a way solves the thorny issue of diverging moments in the stable distribution.
Properties[edit]
 All stable distributions are infinitely divisible.
 With the exception of the normal distribution (), stable distributions are leptokurtotic and heavytailed distributions.
 Closure under convolution
Stable distributions are closed under convolution for a fixed value of . Since convolution is equivalent to multiplication of the Fouriertransformed function, it follows that the product of two stable characteristic functions with the same will yield another such characteristic function. The product of two stable characteristic functions is given by:
Since Φ is not a function of the μ, c or variables it follows that these parameters for the convolved function are given by:
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[edit]
The Generalized Central Limit Theorem (GCLT) was an effort of multiple mathematicians (Berstein, Lindeberg, Lévy, Feller, Kolmogorov, and others) over the period from 1920 to 1937. ^{[13]} The first published complete proof (in French) of the GCLT was in 1937 by Paul Lévy.^{[14]} An English language version of the complete proof of the GCLT is available in the translation of Gnedenko and Kolmogorov's 1954 book.^{[15]}
The statement of the GLCT is as follows:^{[16]}
 A nondegenerate random variable Z is αstable for some 0 < α ≤ 2 if and only if there is an independent, identically distributed sequence of random variables X_{1}, X_{2}, X_{3}, ... and constants a_{n} > 0, b_{n} ∈ ℝ with
 a_{n} (X_{1} + ... + X_{n})  b_{n} → Z.
 Here → means the sequence of random variable sums converges in distribution; i.e., the corresponding distributions satisfy F_{n}(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.
A generalized central limit theorem[edit]
This section needs additional citations for verification. (May 2020) 
General reference: ^{[17]} by Gnedenko.
Another important property of stable distributions is the role that they play in a generalized central limit theorem. The central limit theorem states that the sum of a number of independent and identically distributed (i.i.d.) random variables with finite nonzero variances will tend to a normal distribution as the number of variables grows.
A generalization due to Gnedenko and Kolmogorov states that the sum of a number of random variables with symmetric distributions having powerlaw tails (Paretian tails), decreasing as where (and therefore having infinite variance), will tend to a stable distribution as the number of summands grows.^{[18]} If then the sum converges to a stable distribution with stability parameter equal to 2, i.e. a Gaussian distribution.^{[19]}
^{[20]}
There are other possibilities as well. For example, if the characteristic function of the random variable is asymptotic to for small t (positive or negative), then we may ask how t varies with n when the value of the characteristic function for the sum of n such random variables equals a given value u:
Assuming for the moment that t → 0, we take the limit of the above as n → ∞:
Therefore:
This shows that is asymptotic to so using the previous equation we have
This implies that the sum divided by
converges in distribution to the symmetric alphastable distribution with stability parameter and scale parameter 1.
This can be applied to a random variable whose tails decrease as . This random variable has a mean but the variance is infinite. Let us take the following distribution:
We can write this as
We want to find the leading terms of the asymptotic expansion of the characteristic function. The characteristic function of the probability distribution is so the characteristic function for f(x) is
Special cases[edit]
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:^{[7]}^{[9]}^{[21]}
 For the distribution reduces to a Gaussian distribution with variance σ^{2} = 2c^{2} and mean μ; the skewness parameter has no effect.
 For and the distribution reduces to a Cauchy distribution with scale parameter c and shift parameter μ.
 For and 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 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. 59 of ^{[22]}) which allows any symmetric alphastable 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 is available in terms of Meijer Gfunctions.^{[23]} Fox HFunctions 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.^{[22]}
1/3  1/2  2/3  1  4/3  3/2  2  
0  s  s  s  E  s  s  E  
1  s  E  s  L  s 
Some of the special cases are known by particular names:
 For and , the distribution is a Landau distribution (L) which has a specific usage in physics under this name.
 For and 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 δ(x − μ).
Series representation[edit]
The stable distribution can be restated as the real part of a simpler integral:^{[24]}
Expressing the second exponential as a Taylor series, we have:
For onesided stable distribution, the above series expansion needs to be modified, since and . There is no real part to sum. Instead, the integral of the characteristic function should be carried out on the negative axis, which yields:^{[25]}^{[11]}
Simulation of stable variables[edit]
Simulating sequences of stable random variables is not straightforward, since there are no analytic expressions for the inverse nor the CDF itself.^{[10]}^{[12]} All standard approaches like the rejection or the inversion methods would require tedious computations. A much more elegant and efficient solution was proposed by Chambers, Mallows and Stuck (CMS),^{[26]} who noticed that a certain integral formula^{[27]} yielded the following algorithm:^{[28]}
 generate a random variable uniformly distributed on and an independent exponential random variable with mean 1;
 for compute:
 for compute: where
This algorithm yields a random variable . For a detailed proof see.^{[29]}
Given the formulas for simulation of a standard stable random variable, we can easily simulate a stable random variable for all admissible values of the parameters , , and using the following property. If then
Applications[edit]
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 moments and the accompanying selfsimilarity of the stable family. It was the seeming departure from normality along with the demand for a selfsimilar 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 alphastable distribution with equal to 1.7.^{[6]} Lévy distributions are frequently found in analysis of critical behavior and financial data.^{[9]}^{[33]}
They are also found in spectroscopy as a general expression for a quasistatically pressure broadened spectral line.^{[24]}
The Lévy distribution of solar flare waiting time events (time between flare events) was demonstrated for CGRO BATSE hard xray 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.^{[34]}
Other analytic cases[edit]
A number of cases of analytically expressible stable distributions are known. Let the stable distribution be expressed by then we know:
 The Cauchy Distribution is given by
 The Lévy distribution is given by
 The Normal distribution is given by
 Let be a Lommel function, then:^{[35]}
 Let and denote the Fresnel integrals then:^{[36]}
 Let be the modified Bessel function of the second kind then:^{[36]}
 If the denote the hypergeometric functions then:^{[35]} with the latter being the Holtsmark distribution.
 Let be a Whittaker function, then:^{[37]}^{[38]}^{[39]}
See also[edit]
 Lévy flight
 Lévy process
 Other "power law" distributions
 Financial models with longtailed distributions and volatility clustering
 Multivariate stable distribution
 Discretestable distribution
Notes[edit]
 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.
 libstable is a 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 Package 'stabledist' by Diethelm Wuertz, Martin Maechler and Rmetrics core team members. Computes stable density, probability, quantiles, and random numbers. Updated Sept. 12, 2016.
 Python implementation is located in scipy.stats.levy_stable in the SciPy package.
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