rF2 {SubTS}

Simulation from f_2

Description

Simulates from the pdf f_2(x) intruduced in Grabchak (2021).

Usage

rF2(n, a, p)

Arguments

n

Number of observations.

a

Parameter in [0,1).

p

Parameter >1.

Details

Uses Algorithm 2 in Grabchak (2021) to simulate from the pdf

f_2(x) = (exp(-x^p) - exp(-x))*x^(-1-a)/K_2, 0<x<1

where K_2 is a normalizing constant. This is needed to simulate p-RDTS random variables.

Value

Returns a vector of n random numbers.

Author(s)

Michael Grabchak and Lijuan Cao

References

M. Grabchak (2021). An exact method for simulating rapidly decreasing tempered stable distributions. Statistics and Probability Letters, 170: Article 109015.

Examples

rF2(10, .7, 2.5)