| SubTS-package {SubTS} | R Documentation |
Positive Tempered Stable Distributions and Related Subordinators
Description
Contains methods for the simulation of positive tempered stable distributions and related subordinators. Including classical tempered stable, rapidly deceasing tempered stable, truncated stable, truncated tempered stable, generalized Dickman, truncated gamma, generalized gamma, and p-gamma. For details, see Dassios et al (2019) <doi:10.1017/jpr.2019.6>, Dassios et al (2020) <doi:10.1145/3368088>, Grabchak (2021) <doi:10.1016/j.spl.2020.109015>.
Details
The DESCRIPTION file:
| Package: | SubTS |
| Type: | Package |
| Title: | Positive Tempered Stable Distributions and Related Subordinators |
| Version: | 1.0 |
| Date: | 2023-02-04 |
| Authors@R: | c(person("Michael", "Grabchak", role = c("aut", "cre"), email = "mgrabcha@uncc.edu"), person("Lijuan", "Can", role = "aut") ) |
| Description: | Contains methods for the simulation of positive tempered stable distributions and related subordinators. Including classical tempered stable, rapidly deceasing tempered stable, truncated stable, truncated tempered stable, generalized Dickman, truncated gamma, generalized gamma, and p-gamma. For details, see Dassios et al (2019) <doi:10.1017/jpr.2019.6>, Dassios et al (2020) <doi:10.1145/3368088>, Grabchak (2021) <doi:10.1016/j.spl.2020.109015>. |
| Suggests: | statmod |
| Imports: | copula, gsl, stats, tweedie |
| License: | GPL (>= 3) |
| Author: | Michael Grabchak [aut, cre], Lijuan Can [aut] |
| Maintainer: | Michael Grabchak <mgrabcha@uncc.edu> |
Index of help topics:
SubTS-package Positive Tempered Stable Distributions and
Related Subordinators
dF1 Pdf for f_1
dF2 Pdf for f_2
dGGa Pdf of the generalized gamma distribution
dSubCTS PDF of CTS subordinator
getk1 Constant K_1
getk2 Constant K_2
rDickman Simulation from the generalized Dickman
distribution
rF1 Simulation from f_1
rF2 Simulation from f_2
rGGa Simulates from the generalized gamma
distribution
rPGamma Simulation from p-gamma distributions.
rPRDTS Simulation from p-RDTS distributions.
rSubCTS Simulates of CTS subordinators
rTrunGamma Simulation from the truncated gamma
distribution
rTrunS Simulation from the truncated stable
distribution
rTrunTS Simulation from the truncated tempered stable
distribution.
simCondS Simulation from a conditioned stable
distribution.
simTandW Simulation of hitting time and overshoot.
Author(s)
NA
Maintainer: NA
References
A. Dassios, Y. Qu, J.W. Lim (2019). Exact simulation of generalised Vervaat perpetuities. Journal of Applied Probability, 56(1):57-75.
A. Dassios, Y. Qu, J.W. Lim (2020). Exact simulation of a truncated Levy subordinator. ACM Transactions on Modeling and Computer Simulation, 30(10), 17.
M. Grabchak (2016). Tempered Stable Distributions: Stochastic Models for Multiscale Processes. Springer, Cham.
M. Grabchak (2021). An exact method for simulating rapidly decreasing tempered stable distributions. Statistics and Probability Letters, 170: Article 109015.
Examples
rPRDTS(20, 2, 1, .7, 2)
rPRDTS(20, 2, 1, 0, 2)
rPRDTS(20, 2, 1, -.7, 2)
rDickman(10, 1)
rTrunGamma(10, 2, 1)
rPGamma(20, 2, 2, 2)
rTrunS(10, 2, .6)
rTrunTS(10, 2, 2, .6)