rCTS

Simulates from the symmetric classical tempered stable distribution. When alpha=0 this is the symmetric variance gamma distribution. The simulation is performed by numerically evaluating the quantile function.

Contains methods for simulation and for evaluating the pdf, cdf, and quantile functions for symmetric stable, symmetric classical tempered stable, and symmetric power tempered stable distributions.

Michael Grabchak

SymTS

Symmetric Tempered Stable Distributions

rCTS function

<dl> <dt>r</dt>
<dd>Number of observations.</dd> <dt>alpha</dt>
<dd>Number in [0,2)</dd> <dt>c</dt>
<dd>Parameter c &gt;0</dd> <dt>ell</dt>
<dd>Parameter ell&gt;0</dd> <dt>mu</dt>
<dd>Location parameter, any real number</dd></dl>

Arguments

Author

Simulation from CTS Distribution — rCTS

<dl>

 <dt>r</dt>
<dd>Number of observations.</dd>

 <dt>alpha</dt>
<dd>Number in [0,2)</dd>

 <dt>c</dt>
<dd>Parameter c &gt;0</dd>

 <dt>ell</dt>
<dd>Parameter ell&gt;0</dd>

 <dt>mu</dt>
<dd>Location parameter, any real number</dd>

</dl>

rCTS: Simulation from CTS Distribution

Description

Usage

Arguments

Author

Details

References

Examples