MixedTS (version 1.0.4)

MixedTS-package: Mixed Tempered Stable Distribution

Description

This package provides detailed functions for univariate Mixed Tempered Stable distribution distribution with Gamma density. This distribution encompasses, Variance Gamma and Symmetric Geo-Stable as special cases. The package contains routine for mle estimation, for the computation of density, probability, quantile and random numbers

Details

Package:

MixedTS

Type:

Package

License:

GPL (>= 2)

References

Barndorff-Nielsen,O.E., Kent,J. and Sorensen, M. (1982): Normal variance-mean mixtures and z-distributions, International Statistical Review, 50, 145-159.

Kuchler, U. and Tappe, S. (2014): Exponential stockmodels driven by tempered stable processes. Journal of Econometrics,181 (1), 53-63.

Madan, D.B. and Seneta E. (1990): The variance gamma (V.G.) model for share market returns, Journal of Business, 63, 511-524

Rroji, E and Mercuri, L.(2014): Mixed Tempered Stable distribution UNIMI-Research Papers in Economics, Business, and Statistics, 64.