SymTS-package: Symmetric Tempered Stable Distributions

In SymTS: Symmetric Tempered Stable Distributions

Symmetric Tempered Stable Distributions

Description

Contains methods for simulation and for evaluating the pdf, cdf, and quantile functions for symmetric stable, symmetric classical tempered stable, and symmetric power tempered stable distributions.

Details

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Author(s)

Michael Grabchak <[e-mail]> and Lijuan Cao <[e-mail]>

Maintainer: Michael Grabchak <[e-mail]>

References

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

S. T. Rachev, Y. S. Kim, M. L. Bianchi, and F. J. Fabozzi (2011). Financial Models with Levy Processes and Volatility Clustering. Wiley, Chichester.

J. Rosinski (2007). Tempering stable processes. Stochastic Processes and Their Applications, 117(6):677-707.

G. Samorodnitsky and M. Taqqu (1994). Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. Chapman & Hall, Boca Raton.

SymTS documentation built on Jan. 15, 2023, 1:06 a.m.