ROBUST ANALYSIS

Robust Analysis, Inc. is a consulting and software company that specializes in analyzing problems that involve heavy tailed distributions. Our main focus has been on stable distributions, a class of probability distributions that generalize normal distributions and allow heavy tails and skewness... We have developed a library of STABLE functions for programmers to call directly (from C, Fortran, or Visual Basic) and interfaces for matlab, Excel, and R. All the capabilities of the free STABLE program are available, plus more features, at increased speed. The library has functions to compute stable densities, cumulative distribution functions, quantiles, hazard function, etc. at an arbitrary vector of values. It will estimate stable parameters by six methods: quantile method, empirical characteristic function method, numerical maximum likelihood estimation, fractional moments, log absolute moment, and modified quantile. Linear regression with stable error terms is now included.....

Also known as: Robust Analysis, Inc.