| SymTS-package {SymTS} | R Documentation |
Symmetric Tempered Stable Distributions
Description
Contains methods for simulation and for evaluating the pdf, cdf, and quantile functions for symmetric stable, symmetric classical tempered stable, and symmetric power tempered stable distributions.
Details
The DESCRIPTION file:
| Package: | SymTS |
| Type: | Package |
| Title: | Symmetric Tempered Stable Distributions |
| Version: | 1.0-2 |
| Date: | 2023-01-14 |
| Author: | Michael Grabchak <mgrabcha@uncc.edu> and Lijuan Cao <lcao2@uncc.edu> |
| Maintainer: | Michael Grabchak <mgrabcha@uncc.edu> |
| Description: | Contains methods for simulation and for evaluating the pdf, cdf, and quantile functions for symmetric stable, symmetric classical tempered stable, and symmetric power tempered stable distributions. |
| License: | GPL (>= 3) |
Index of help topics:
SymTS-package Symmetric Tempered Stable Distributions
dCTS PDF of CTS Distribution
dPowTS PDF of PowTS Distribution
dSaS PDF of Symmetric Stable Distribution
pCTS CDF of CTS Distribution
pPowTS PDF of PowTS Distribution
pSaS CDF of Symmetric Stable Distribution
qCTS Quantile Function of CTS Distribution
qPowTS Quantile Function of PowTS Distribution
qSaS Quantile Function of Symmetric Stable
Distribution
rCTS Simulation from CTS Distribution
rPowTS Simulation from PowTS Distribution
rSaS Simulation from Symmetric Stable Distribution
Author(s)
Michael Grabchak <mgrabcha@uncc.edu> and Lijuan Cao <lcao2@uncc.edu>
Maintainer: Michael Grabchak <mgrabcha@uncc.edu>
References
M. Grabchak (2016). Tempered Stable Distributions: Stochastic Models for Multiscale Processes. Springer, Cham.
S. T. Rachev, Y. S. Kim, M. L. Bianchi, and F. J. Fabozzi (2011). Financial Models with Levy Processes and Volatility Clustering. Wiley, Chichester.
J. Rosinski (2007). Tempering stable processes. Stochastic Processes and Their Applications, 117(6):677-707.
G. Samorodnitsky and M. Taqqu (1994). Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. Chapman & Hall, Boca Raton.