simTandW: Simulation of hitting time and overshoot.
In SubTS: Positive Tempered Stable Distributions and Related Subordinators
simTandW R Documentation
Simulation of hitting time and overshoot.
Description
Simulates the hitting time T and the overshoot W of a stable process by implimenting Algorithm 4.1 in Dassios, Qu, and Lim (2020). This is important for simulating other distribution.
Usage
simTandW(alpha)
Arguments
alpha
Parameter in the open interval (0,1).
Value
Returns one pair of random numbers. The first is T and the second is W.
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.
Examples
simTandW(.6)
SubTS documentation built on March 7, 2023, 7:19 p.m.
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| simTandW | R Documentation |
Simulation of hitting time and overshoot.
Description
Simulates the hitting time T and the overshoot W of a stable process by implimenting Algorithm 4.1 in Dassios, Qu, and Lim (2020). This is important for simulating other distribution.
Usage
simTandW(alpha)
Arguments
alpha |
Parameter in the open interval (0,1). |
Value
Returns one pair of random numbers. The first is T and the second is W.
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.
Examples
simTandW(.6)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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