dPowTS {SymTS} | R Documentation |
PDF of PowTS Distribution
Description
Evaluates the pdf for the symmetric power tempered stable distribution.
Usage
dPowTS(x, alpha, c = 1, ell = 1, mu = 0)
Arguments
x |
Vector of points |
alpha |
Number in [0,2) |
c |
Parameter c >0 |
ell |
Parameter ell>0 |
mu |
Location parameter, any real number |
Details
The integration is preformed using the QAWF method in the GSL library for C. For this distribution the Rosinski measure R(dx) = c*(alpha+ell+1)*(alpha+ell)*(1+|x|)^(-2-alpha-ell)(dx).
Note
We do not allow for the case alpha=0 and c<=.5*(1+ell), as, in this case, the pdf is unbounded. This does not affect pPowTS, qPowTS, or rPowTS.
Author(s)
Michael Grabchak and Lijuan Cao
References
M. Grabchak (2016). Tempered Stable Distributions: Stochastic Models for Multiscale Processes. Springer, Cham.
Examples
x = (-10:10)/10
dPowTS(x,.5)
[Package SymTS version 1.0-2 Index]