dMixedTS-methods: Density of Mixed Tempered Stable distribution

In MixedTS: Mixed Tempered Stable Distribution

Description

This Method returns the density of a Mixed Tempered Stable

Methods

signature(object = "param.MixedTS",x = numeric(), setSup=NULL,setInf=NULL,N=2^10)

This method returns an object of class MixedTS where the slot dens contains the value of the density evaluated on the x. setSup and setInf are used to choose + infinity and - infinty. N is the number of point used for discretization in fft algorithm.

Examples

# First Example

# Density of MixedTS with Gamma

ParamEx1<-setMixedTS.param(mu0=0, mu=0, sigma=0.4, a=1.5,
                           alpha=0.8, lambda_p=4, lambda_m=1, 
                           Mixing="Gamma")

# support

x<-seq(-3,1,length=100)

dens1<-dMixedTS(x=x,object=ParamEx1,setSup=10,setInf=-10,N=2^7)

plot(dens1)

# Density of MixedTS with IG

Mix<-"User"

logmgf<-("lamb/mu1*(1-sqrt(1-2*mu1^2/lamb*u))")

parMix<-list(lamb=1,mu1=1)

ParamEx2<-setMixedTS.param(mu0=0, mu=0, sigma=0.4, a=logmgf,
                           alpha=0.8, lambda_p=4, lambda_m=1,
                           Mixing=Mix,paramMixing=parMix)

x<-seq(-3,1,length=100)

dens2<-dMixedTS(x=x,object=ParamEx2,setSup=10,setInf=-10,N=2^7)

plot(dens2)

MixedTS documentation built on May 2, 2019, 3:03 p.m.