rnts: rnts

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

Description

rnts generates random numbers following NTS distribution with parameters (α, θ, β, γ, μ). If only three parameters are given, it generates random numbers of standard NTS distribution with parameter (α, θ, β) If a time parameter value is given, it generates random numbers of increments of NTS profess for time interval t.

Usage

rnts(n, ntsparam)

Arguments

n	number of random numbers to be generated.
ntsparam	A vector of NTS parameters (α, θ, β, γ, μ). For 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

NTS random numbers

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)
r <- rnts(100, ntsparam) #generate 100 NTS random numbers
plot(r)

alpha <- 1.2
theta <- 1
beta <- -0.2
gamma <- 0.3
mu <- 0.1
ntsparam <- c(alpha, theta, beta, gamma, mu)
r <- rnts(100, ntsparam) #generate 100 NTS random numbers
plot(r)


#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)
r <- rnts(100, ntsparam) #generate 100 NTS random numbers
plot(r)

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