| MixedTS-package {MixedTS} | R Documentation |
Mixed Tempered Stable Distribution
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.