rPowTS: Simulation from PowTS Distribution
Description
Simulates from the symmetric power tempered stable distribution. The simulation is performed by numerically evaluating the quantile function.
Usage
rPowTS(r, alpha, c = 1, ell = 1, mu = 0)
Arguments
- r
Number of observations.
- 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
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.