ipnts: ipnts

In aaron9011/temStaR-v0.814: Tempered Stable Distribution

Description

ipnts calculates inverse cdf of the NTS distribution with parameters (α, θ, β, γ, μ). If only three parameters are given, it calculates inverse cdf of the standard NTS distribution with parameter (α, θ, β)

Usage

ipnts(u, ntsparam, maxmin = c(-10, 10), du = 0.01)

Arguments

u	Real value between 0 and 1
ntsparam	A vector of the NTS parameters (α, θ, β, γ, μ). A vector of the standard NTS parameters (α, θ, β).

Value

Inverse cdf of the NTS distribution. It is the same as qnts function.

References

Kim, Y. S. (2020) Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk https://arxiv.org/pdf/2007.13972.pdf

Examples

library("temStaR")
alpha <- 1.2
theta <- 1
beta <- -0.2
ntsparam <- c(alpha, theta, beta)
u <- seq(from = 0.01, to = 0.99, length.out = 99)
q <- ipnts(u, ntsparam)
plot(u,q,type = 'l')

alpha <- 1.2
theta <- 1
beta <- -0.2
gamma <- 0.3
mu <- 0.1
ntsparam <- c(alpha, theta, beta, gamma, mu)
u <- seq(from = 0.01, to = 0.99, length.out = 99)
q <- ipnts(u, ntsparam)
plot(x,q,type = 'l')


#Annual based parameters
alpha <- 1.2
theta <- 1
beta <- -0.2
gamma <- 0.3
mu <- 0.1
#scaling annual parameters to one day
dt <- 1/250 #one day
ntsparam <- c(alpha, theta, beta, gamma, mu, dt)
u <- seq(from = 0.01, to = 0.99, length.out = 99)
q <- ipnts(u, ntsparam)
plot(x,q,type = 'l')

aaron9011/temStaR-v0.814 documentation built on Dec. 24, 2021, 6:16 p.m.