rNTS: Function to generate random variates of NTS distribution.
Description
Generates n random numbers distributed according
of the normal tempered stable distribution.
Usage
rNTS(
n,
alpha = NULL,
beta = NULL,
delta = NULL,
lambda = NULL,
mu = NULL,
theta = NULL,
methodR = "AR",
k = 10000
)
Value
Generates n random numbers.
Arguments
n
sample size (integer).
alpha
A real number between 0 and 1.
beta
A gap holder.
delta
A real number > 0.
lambda
A real number > 0.
mu
A location parameter, any real number.
theta
A vector of all other arguments.
methodR
A String. Either "AR" or "SR". "AR" by default.
k
integer: the number of replications, if methodR == "SR". 10000
by default.
Details
theta denotes the parameter vector (alpha, beta, delta, lambda,
mu). Either provide the parameters individually OR provide theta.
Works by a normal variance-mean mixture with a TSS distribution. Method
parameter is for the method of simulating the TSS random variable, see the
rTSS() function.
"AR" stands for the Acceptance-Rejection Method and "SR" for a truncated
infinite shot noise series representation. "AR" is the standard method used.
For more details, see references.
References
Massing, T. (2023), 'Parametric Estimation of Tempered Stable Laws'
Kawai, R & Masuda, H (2011), 'On simulation of tempered stable random
variates' tools:::Rd_expr_doi("10.1016/j.cam.2010.12.014")