qnts: qnts

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

Description

qnts calculates quantile of the NTS distribution with parameters (α, θ, β, γ, μ). If only three parameters are given, it calculates quantile of the standard NTS distribution with parameter (α, θ, β) If a time parameter value is given, it calculates quantile of NTS profess. That is it finds x such that u = P((X(t+s)-X(s))<x), where X is the NTS process generated by the NTS distribution with parameters (α, θ, β, γ, μ).

Usage

qnts(u, ntsparam)

Arguments

u	vector of probabilities.
ntsparam	A vector of the NTS parameters (α, θ, β, γ, μ). For the NTS process case it is a vector of parameters (α, θ, β, γ, μ, t). A vector of standard NTS parameters (α, θ, β).

Value

The quantile function of the NTS distribution

Examples

library("temStaR")

alpha <- 1.2
theta <- 1
beta <- -0.2
ntsparam <- c(alpha, theta, beta)
u <- c(0.01,0.05,0.25,0.5, 0.75, 0.95, 0.99)
q <- qnts(u, ntsparam)

alpha <- 1.2
theta <- 1
beta <- -0.2
gamma <- 0.3
mu <- 0.1
ntsparam <- c(alpha, theta, beta, gamma, mu)
u <- c(0.01,0.05,0.25,0.5, 0.75, 0.95, 0.99)
q <- qnts(u, ntsparam)


#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 <- c(0.01,0.05,0.25,0.5, 0.75, 0.95, 0.99)
q <- qnts(u, ntsparam)

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