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SubTS (version 1.0)

Positive Tempered Stable Distributions and Related Subordinators

Description

Contains methods for the simulation of positive tempered stable distributions and related subordinators. Including classical tempered stable, rapidly deceasing tempered stable, truncated stable, truncated tempered stable, generalized Dickman, truncated gamma, generalized gamma, and p-gamma. For details, see Dassios et al (2019) , Dassios et al (2020) , Grabchak (2021) .

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Version

Install

install.packages('SubTS')

Monthly Downloads

205

Version

1.0

License

GPL (>= 3)

Maintainer

Michael Grabchak

Last Published

February 17th, 2023

Functions in SubTS (1.0)

Simulation from the truncated tempered stable distribution.

Simulation from the truncated gamma distribution

Simulates of CTS subordinators

Simulates from the generalized gamma distribution

Simulation from p-RDTS distributions.

Simulation from a conditioned stable distribution.

Simulation from the truncated stable distribution

Simulation of hitting time and overshoot.

Simulation from p-gamma distributions.

PDF of CTS subordinator

Pdf of the generalized gamma distribution

Simulation from f_2

Simulation from f_1

Simulation from the generalized Dickman distribution

tools:::Rd_package_title("SubTS")