simCondS: Simulation from a conditioned stable distribution.

In SubTS: Positive Tempered Stable Distributions and Related Subordinators

Simulation from a conditioned stable distribution.

Description

Implements Algorithm 4.2 in Dassios, Qu, and Lim (2020) to simulate from a stable distribution conditioned on an appropriate event.

Usage

simCondS(t, alpha)

Arguments

t	Parameter > 0.
alpha	Parameter in the open interval (0,1).

Details

Implements Algorithm 4.2 in Dassios, Qu, and Lim (2020) to simulate from a stable distribution conditioned on an appropriate event. There are some typos in this algorithm, which are corrected in Grabchak (2021). These random variables are needed to simulate truncated stable, truncated tempered stable, and p-RDTS random variables.

Value

Returns one random number.

Author(s)

Michael Grabchak and Lijuan Cao

References

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

Examples

simCondS(2, .7)

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