simCondS

Implements Algorithm 4.2 in Dassios, Qu, and Lim (2020) to simulate from a stable distribution conditioned on an appropriate event.

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) <doi:10.1017/jpr.2019.6>, Dassios et al (2020) <doi:10.1145/3368088>, Grabchak (2021) <doi:10.1016/j.spl.2020.109015>.

Michael Grabchak

SubTS

Positive Tempered Stable Distributions and Related Subordinators

Lijuan Can

simCondS function

<dl> <dt>t</dt>
<dd>Parameter &gt; 0.</dd> <dt>alpha</dt>
<dd>Parameter in the open interval (0,1).</dd></dl>

Arguments

Author

Simulation from a conditioned stable distribution. — simCondS

<dl>

 <dt>t</dt>
<dd>Parameter &gt; 0.</dd>

 <dt>alpha</dt>
<dd>Parameter in the open interval (0,1).</dd>

</dl>

simCondS: Simulation from a conditioned stable distribution.

Description

Usage

Value

Arguments

Author

Details

References

Examples