param.MixedTS-class {MixedTS}

"param.MixedTS": A mathematical Description of the Mixed Tempered Stable

Description

Main class of the package MixedTS.

Objects from the Class

Objects can be created by calls of the form setMixedTS.

Slots

mu0:

a numeric object. mu0 parameter belongs to the real axis.

mu:

a numeric object. mu parameter belongs to the real axis

sigma

a numeric object. sigma parameter assumes value from zero to infinity.

a

a vector object. If numeric, the mixing density V is a Gamma and a is the value of the shape parameter. If string, a is the log of the moment generating function of the mixing density V.

alpha

a numeric object that takes value from 0 to 2. If alpha is fixed to 2, the Mixed Tempered Stable becomes the Normal Variance Mean mixture.

lambda_p

a positive numeric object. It is the right tempering parameter of the random variable X.

lambda_m

a positive numeric object. It is the left tempering parameter of the random variable X

Mixing

a string object indicating the nature of the mixing density V. If Mixing="Gamma" (default value), the V randm variable is a Gamma. If Mixing="Gamma", the user have to specify the log of the moment generating function of the V random variable.

paramMixing

a list object. It is an empty list when Mixing="Gamma". If Mixing="User", it is used to pass the values of the Mixing density parameters defined by the User through slot a.

MixingLogMGF:

This slot contains a function that returns the logarithm of mgf for the Mixing density. The function is built internally using the information contains into the slots a, paramMixing.

Parametrization:

String that indicates the parametrization used by user for the MixedTS

Methods

dMixedTS

signature(object = "param.MixedTS"): Method for computing density of MixedTS. See "dMixedTS-methods" for more details.

pMixedTS

signature(object = "param.MixedTS"): Method for computing probability of MixedTS. See "pMixedTS-methods" for more details.

qMixedTS

signature(object = "param.MixedTS"): Method for computing quantile of MixedTS. See "qMixedTS-methods" for more details.

rMixedTS

signature(object = "param.MixedTS"): Method for computing random numbers of MixedTS. See "rMixedTS-methods" for more details.

initialize

signature(object = "param.MixedTS").

Qparam.MixedTS

signature(object = "param.MixedTS").