rmnts: rmnts

In aaron9011/temStaR-v0.90: Tempered Stable Distribution

rmnts

Description

rmnts generates random vector following the n dimensional NTS distribution using subordination.

r = \mu + diag(\sigma) X,

where

X follows stdNTS_n(\alpha, \theta, \beta, \Sigma)

Usage

rmnts(strPMNTS, numofsample, rW = NULL, rTau = NULL)

Arguments

strPMNTS

Structure of parameters for the n-dimensional NTS distribution. strPMNTS$ndim : dimension strPMNTS$mu : \mu mean vector (column vector) of the input data. strPMNTS$sigma : \sigma standard deviation vector (column vector) of the input data. strPMNTS$alpha : \alpha of the std NTS distribution (X). strPMNTS$theta : \theta of the std NTS distribution (X). strPMNTS$beta : \beta vector (column vector) of the std NTS distribution (X). strPMNTS$Rho : \rho matrix of the std NTS distribution (X).

numofsample

number of samples.

Value

Simulated NTS random vectors

References

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

Examples

strPMNTS <- list(ndim = 2,
                 mu = c( 0.00011, 0.00048 ),
                 sigma = c( 0.0162, 0.0231 ),
                 alpha = 1.23,
                 theta = 3.607,
                 beta =  c( -0.1209,  0.0905 ),
                 Rho = matrix( data = c(1.0, 0.55, 0.55, 1.0), nrow = 2, ncol = 2)
)
gensim <- rmnts( strPMNTS, 100 )
plot(gensim)

aaron9011/temStaR-v0.90 documentation built on June 1, 2025, 4:15 p.m.