rPowTS {SymTS}

Simulation from PowTS Distribution

Description

Simulates from the symmetric power tempered stable distribution. The simulation is performed by numerically evaluating the quantile function.

Usage

rPowTS(r, alpha, c = 1, ell = 1, mu = 0)

Arguments

r

Number of observations.

alpha

Number in [0,2)

c

Parameter c >0

ell

Parameter ell>0

mu

Location parameter, any real number

Details

For this distribution the Rosinski measure R(dx) = c*(alpha+ell+1)*(alpha+ell)*(1+|x|)^(-2-alpha-ell)(dx).

Author(s)

Michael Grabchak and Lijuan Cao

References

M. Grabchak (2016). Tempered Stable Distributions: Stochastic Models for Multiscale Processes. Springer, Cham.

Examples

pPowTS(10,.5)