SubTS-package: Tempered Stable Subordinators and Related Distributions

In SubTS: Tempered Stable Subordinators and Related Distributions

Tempered Stable Subordinators and Related Distributions

Description

Contains methods for the simulation of tempered stable subordinators and related distributions. Including classical tempered stable (both finite and infinite variation), rapidly deceasing tempered stable, truncated stable, truncated tempered stable, generalized Dickman, truncated gamma, generalized gamma, and p-gamma. For details, see Dassios et al (2019) <doi:10.1017/jpr.2019.6>, Dassios et al (2020) <doi:10.1145/3368088>, Grabchak (2021) <doi:10.1016/j.spl.2020.109015>, Grabchak (2026) <doi:10.48550/arXiv.2604.17732>.

Details

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Author(s)

Michael Grabchak [aut, cre], Lijuan Cao [aut]

Maintainer: Michael Grabchak <[e-mail]>

References

A. Dassios, Y. Qu, J.W. Lim (2019). Exact simulation of generalised Vervaat perpetuities. Journal of Applied Probability, 56(1):57-75.

A. Dassios, Y. Qu, J.W. Lim (2020). Exact simulation of a truncated Levy subordinator. ACM Transactions on Modeling and Computer Simulation, 30(10), 17.

M. Grabchak (2016). Tempered Stable Distributions: Stochastic Models for Multiscale Processes. Springer, Cham.

M. Grabchak (2021). An exact method for simulating rapidly decreasing tempered stable distributions. Statistics and Probability Letters, 170: Article 109015.

M. Grabchak (2026). Exact Simulation from Tempered Stable Distributions with Infinite Variation (alpha>=1). <doi 10.48550/arXiv.2604.17732>.

Examples

rPRDTS(20, 2, 1, .7, 2)
rPRDTS(20, 2, 1, 0, 2)
rPRDTS(20, 2, 1, -.7, 2)
rDickman(10, 1)
rTrunGamma(10, 2, 1)
rPGamma(20, 2, 2, 2)
rTrunS(10, 2, .6)
rTrunTS(10, 2, 2, .6)
rCTSP(10,1.5,1,1)
rCTSM(10,1.5,1,1)

SubTS documentation built on Sept. 14, 2026, 1:06 a.m.