dTSS {TempStable} | R Documentation |
Density function of the tempered stable subordinator (TSS) distribution
Description
The probability density function (PDF) of tempered stable subordinator distribution.
It can be computed via the stable distribution (see details)
using the stabledist
package.
Usage
dTSS(x, alpha = NULL, delta = NULL, lambda = NULL, theta = NULL)
Arguments
x |
A numeric vector of positive quantiles. |
alpha |
Stability parameter. A real number between 0 and 1. |
delta |
Scale parameter. A real number > 0. |
lambda |
Tempering parameter. A real number > 0. |
theta |
Parameters stacked as a vector. |
Details
theta
denotes the parameter vector (alpha, delta, lambda)
. Either provide the parameters
alpha
, delta
, lambda
individually OR provide theta
.
f_{TSS}(y;\theta)=\mathrm{e}^{-\lambda y-\lambda^{\alpha}\delta\Gamma(-\alpha)}f_{S(\alpha,\delta)}(y),
where
f_{S(\alpha,\delta)}
is the density of the stable subordinator.
Value
As x
is a numeric vector, the return value is also a numeric
vector of probability densities.
References
Massing, T. (2023), 'Parametric Estimation of Tempered Stable Laws'
Kawai, R. & Masuda, H. (2011), 'On simulation of tempered stable random variates' doi:10.1016/j.cam.2010.12.014
Examples
x <- seq(0,15,0.25)
y <- dTSS(x,0.5,1,0.3)
plot(x,y)