MixedTS-package: Mixed Tempered Stable Distribution

Description Details Author(s) References

Description

This package provides detailed functions for univariate Mixed Tempered Stable distribution distribution with Gamma density. This distribution encompasses, Variance Gamma and Symmetric Geo-Stable as special cases. The package contains routine for mle estimation, for the computation of density, probability, quantile and random numbers

Details

Package: MixedTS
Type: Package
License: GPL (>= 2)

Author(s)

Lorenzo Mercuri, Edit Rroji

Maintainer: Lorenzo Mercuri <[email protected]>

References

Barndorff-Nielsen,O.E., Kent,J. and Sorensen, M. (1982): Normal variance-mean mixtures and z-distributions, International Statistical Review, 50, 145-159.

Kuchler, U. and Tappe, S. (2014): Exponential stockmodels driven by tempered stable processes. Journal of Econometrics,181 (1), 53-63.

Madan, D.B. and Seneta E. (1990): The variance gamma (V.G.) model for share market returns, Journal of Business, 63, 511-524

Rroji, E and Mercuri, L.(2014): Mixed Tempered Stable distribution UNIMI-Research Papers in Economics, Business, and Statistics, 64.


MixedTS documentation built on May 30, 2017, 6:28 a.m.