SubTS-package: Positive Tempered Stable Distributions and Related...

In SubTS: Positive Tempered Stable Distributions and Related Subordinators

Positive Tempered Stable Distributions and Related Subordinators

Description

Contains methods for the simulation of positive tempered stable distributions and related subordinators. Including classical tempered stable, 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>.

Details

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Author(s)

Michael Grabchak [aut, cre], Lijuan Can [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.

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)

SubTS documentation built on March 7, 2023, 7:19 p.m.