MixedTS-package: Mixed Tempered Stable Distribution


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


Package: MixedTS
Type: Package
License: GPL (>= 2)


Lorenzo Mercuri, Edit Rroji

Maintainer: Lorenzo Mercuri <lorenzo.mercuri@unimi.it>


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.

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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