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Simulates from classical tempered stable (CTS) distributions. When alpha=0 this is the gamma distribution.
rSubCTS(n, alpha, c, ell, method = NULL)
Returns a vector of n random numbers.
Number of observations.
Parameter in [0,1).
Parameter >0
Tempering parameter >0
Parameter used by retstable in the copula package. When NULL restable selects the best method.
Michael Grabchak and Lijuan Cao
Simulates a CTS subordinator. The distribution has Laplace transform
L(z) = exp( c int_0^infty (e^(-xz)-1)e^(-x/ell) x^(-1-alpha) dx), z>0
and Levy measure
M(dx) = c e^(-x/ell) x^(-1-alpha) 1(x>0)dx.
M. Grabchak (2016). Tempered Stable Distributions: Stochastic Models for Multiscale Processes. Springer, Cham.
rSubCTS(20, .7, 1, 1)
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