charNTS {TempStable} | R Documentation |
Characteristic function of the normal tempered stable (NTS) distribution
Description
Theoretical characteristic function (CF) of the normal tempered stable distribution. See Rachev et al. (2011) for details.
Usage
charNTS(
t,
alpha = NULL,
beta = NULL,
delta = NULL,
lambda = NULL,
mu = NULL,
theta = NULL
)
Arguments
t |
A vector of real numbers where the CF is evaluated. |
alpha |
Stability parameter. A real number between 0 and 1. |
beta |
Skewness parameter. Any real number. |
delta |
Scale parameter. A real number > 0. |
lambda |
Tempering parameter. A real number > 0. |
mu |
A location parameter, any real number. |
theta |
A vector of all other arguments. |
Details
theta
denotes the parameter vector (alpha, beta, delta, lambda,
mu)
. Either provide the parameters individually OR provide theta
.
\varphi_{NTS}(t;\theta)=E\left[\mathrm{e}^{\mathrm{i}tZ}\right]= \exp
\left(\mathrm{i}t\mu+\delta\Gamma(-\alpha)\left((\lambda-\mathrm{i}t
\beta+t^2/2)^{\alpha}-\lambda^{\alpha}\right)\right)
Value
The CF of the normal tempered stable distribution.
References
Massing, T. (2022), 'Parametric Estimation of Tempered Stable Laws'
Rachev, Svetlozar T. & Kim, Young Shin & Bianchi, Michele L. & Fabozzi, Frank J. (2011) 'Financial models with Lévy processes and volatility clustering' doi:10.1002/9781118268070
Examples
x <- seq(-10,10,0.25)
y <- charNTS(x,0.5,1,1,1,0)