Calculation of multidimensional stable densities

Stable random variables are used in economics, engineering, hydrology and physics to model situations where the underlying distributions are heavy tailed. Stable densities do not generally have explicit formula, even in one variable. This paper describes the steps necessary to calculate multivariate stable densities by numerically inverting the characteristic function. We give a program tocalculate two dimensional stable densites that uses a recent two dimensional adaptive quadratureroutine. Graphs of families of such densities are given for a range of values of a and various spectral measures