rTSS

Generates <code>n</code> random numbers distributed according
of the tempered stable subordinator distribution.

A collection of methods to estimate parameters of different tempered stable
distributions. Currently, there are three different tempered stable
distributions to choose from: Tempered stable subordinator distribution,
classical tempered stable distribution, normal tempered stable distribution.
The package also provides functions to compute density and probability
functions and tools to run Monte Carlo simulations.
This package has already been used for the estimation of tempered stable
distributions (Massing (2023) <arXiv:2303.07060>).
The following references form the theoretical background for various functions
in this package. References for each function are explicitly listed in its
documentation:
Carrasco (2017) <doi:10.1017/S0266466616000025>
Feuerverger (1981) <doi:10.1111/j.2517-6161.1981.tb01143.x>
Hansen et al. (1996) <doi:10.1080/07350015.1996.10524656>
Hansen (1982) <doi:10.2307/1912775>
Kawai & Masuda (2011) <doi:10.1016/j.cam.2010.12.014>
Kim et al. (2008) <doi:10.1016/j.jbankfin.2007.11.004>
Kuechler & Tappe (2013) <doi:10.1016/j.spa.2013.06.012>
Rachev et al. (2011) <doi:10.1002/9781118268070>.

Cedric Maximilian Juessen

TempStable

A Collection of Methods to Estimate Parameters of Different
Tempered Stable Distributions

Till Massing

rTSS function

<dl><dt>n</dt>
<dd>sample size (integer).</dd>
<dt>alpha</dt>
<dd>Stability parameter. A real number between 0 and 1.</dd>
<dt>delta</dt>
<dd>Scale parameter. A real number &gt; 0.</dd>
<dt>lambda</dt>
<dd>Tempering parameter. A real number &gt; 0.</dd>
<dt>theta</dt>
<dd>Parameters stacked as a vector.</dd>
<dt>methodR</dt>
<dd>A String. Either "AR" or "SR".</dd>
<dt>k</dt>
<dd>integer: the level of truncation, if <code>methodR == "SR"</code>. 10000
by default.</dd></dl>

Arguments

Function to generate random variates of the TSS distribution. — rTSS

<dl>

<dt>n</dt>
<dd>sample size (integer).</dd>


<dt>alpha</dt>
<dd>Stability parameter. A real number between 0 and 1.</dd>


<dt>delta</dt>
<dd>Scale parameter. A real number &gt; 0.</dd>


<dt>lambda</dt>
<dd>Tempering parameter. A real number &gt; 0.</dd>


<dt>theta</dt>
<dd>Parameters stacked as a vector.</dd>


<dt>methodR</dt>
<dd>A String. Either "AR" or "SR".</dd>


<dt>k</dt>
<dd>integer: the level of truncation, if <code>methodR == "SR"</code>. 10000
by default.</dd>

</dl>

rTSS: Function to generate random variates of the TSS distribution.

Description

Usage

Value

Arguments

Details

References

Examples