rMTS {TempStable} | R Documentation |
Generates n
random numbers distributed according to the modified
tempered stable (MTS) distribution.
rMTS(
n,
alpha = NULL,
delta = NULL,
lambdap = NULL,
lambdam = NULL,
mu = NULL,
theta = NULL,
methodR = "SR",
k = 10000
)
n |
sample size (integer). |
alpha |
Stability parameter. A real number between 0 and 2. |
delta |
Scale parameter. A real number > 0. |
lambdap , lambdam |
Tempering parameter. A real number > 0. |
mu |
A location parameter, any real number. |
theta |
Parameters stacked as a vector. |
methodR |
A String. Either "TM", "AR" or "SR". |
k |
integer: the level of truncation, if |
Currently, random variants can only be generated using the series representation given by Bianchi et al. (2011).
It is recommended to check the generated random numbers once for each distribution using the density function. If the random numbers are shifted, e.g. for the method "SR", it may be worthwhile to increase k.
Generates n
random numbers of the CTS distribution.
Bianchi, M. L.; Rachev, S. T.; Kim, Y. S. & Fabozzi, F. J. (2011), 'Tempered infinitely divisible distributions and processes' doi:10.1137/S0040585X97984632
rMTS(2,0.5,1,1,1,0,NULL,"SR")