MixedTS-package: Mixed Tempered Stable Distribution
In MixedTS: Mixed Tempered Stable Distribution
Description
Details
Author(s)
References
Description
This package provides detailed functions for univariate Mixed Tempered Stable distribution distribution with Gamma density. This distribution encompasses, Variance Gamma and Symmetric Geo-Stable as special cases. The package contains routine for mle estimation, for the computation of density, probability, quantile and random numbers
Details
Package: MixedTS
Type: Package
License: GPL (>= 2)
Author(s)
Lorenzo Mercuri, Edit Rroji
Maintainer: Lorenzo Mercuri <lorenzo.mercuri@unimi.it>
References
Barndorff-Nielsen,O.E., Kent,J. and Sorensen, M. (1982): Normal variance-mean mixtures and z-distributions, International Statistical Review, 50, 145-159.
Kuchler, U. and Tappe, S. (2014): Exponential stockmodels driven by tempered stable processes. Journal of Econometrics,181 (1), 53-63.
Madan, D.B. and Seneta E. (1990): The variance gamma (V.G.) model for share market returns, Journal of Business, 63, 511-524
Rroji, E and Mercuri, L.(2014): Mixed Tempered Stable distribution UNIMI-Research Papers in Economics, Business, and Statistics, 64.
MixedTS documentation built on May 2, 2019, 6:49 p.m.
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Description Details Author(s) References
Description
This package provides detailed functions for univariate Mixed Tempered Stable distribution distribution with Gamma density. This distribution encompasses, Variance Gamma and Symmetric Geo-Stable as special cases. The package contains routine for mle estimation, for the computation of density, probability, quantile and random numbers
Details
| Package: | MixedTS |
| Type: | Package |
| License: | GPL (>= 2) |
Author(s)
Lorenzo Mercuri, Edit Rroji
Maintainer: Lorenzo Mercuri <lorenzo.mercuri@unimi.it>
References
Barndorff-Nielsen,O.E., Kent,J. and Sorensen, M. (1982): Normal variance-mean mixtures and z-distributions, International Statistical Review, 50, 145-159.
Kuchler, U. and Tappe, S. (2014): Exponential stockmodels driven by tempered stable processes. Journal of Econometrics,181 (1), 53-63.
Madan, D.B. and Seneta E. (1990): The variance gamma (V.G.) model for share market returns, Journal of Business, 63, 511-524
Rroji, E and Mercuri, L.(2014): Mixed Tempered Stable distribution UNIMI-Research Papers in Economics, Business, and Statistics, 64.
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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