rCTS: Simulation from CTS Distribution

In SymTS: Symmetric Tempered Stable Distributions

Simulation from CTS Distribution

Description

Simulates from the symmetric classical tempered stable distribution. When alpha=0 this is the symmetric variance gamma distribution. The simulation is performed by numerically evaluating the quantile function.

Usage

rCTS(r, alpha, c = 1, ell = 1, mu = 0)

Arguments

r	Number of observations.
alpha	Number in [0,2)
c	Parameter c >0
ell	Parameter ell>0
mu	Location parameter, any real number

Details

For details about this distribution see the the describtion of dCTS.

Author(s)

Michael Grabchak and Lijuan Cao

References

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

Examples

rCTS(10,.5)

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