Evaluates the pdf for the symmetric power tempered stable distribution.
Usage
dPowTS(x, alpha, c = 1, ell = 1, mu = 0)
Arguments
x
Vector of points
alpha
Number in [0,2)
c
Parameter c >0
ell
Parameter ell>0
mu
Location parameter, any real number
Author
Michael Grabchak and Lijuan Cao
Details
The integration is preformed using the QAWF method in the GSL library for C. For this distribution the Rosinski measure R(dx) = c*(alpha+ell+1)*(alpha+ell)*(1+|x|)^(-2-alpha-ell)(dx).
References
M. Grabchak (2016). Tempered Stable Distributions: Stochastic Models for Multiscale Processes. Springer, Cham.