simTandW

Simulates the hitting time T and the overshoot W of a stable process by implimenting Algorithm 4.1 in Dassios, Qu, and Lim (2020). This is important for simulating other distribution.

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

simTandW function

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

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Author

Simulation of hitting time and overshoot. — simTandW

<dl>

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

</dl>

simTandW: Simulation of hitting time and overshoot.

Description

Usage

Value

Arguments

Author

References

Examples