rSubCTS {SubTS} | R Documentation |
Simulates from classical tempered stable (CTS) distributions. When alpha=0 this is the gamma distribution.
rSubCTS(n, alpha, c, ell, method = NULL)
n |
Number of observations. |
alpha |
Parameter in [0,1). |
c |
Parameter >0 |
ell |
Tempering parameter >0 |
method |
Parameter used by retstable in the copula package. When NULL restable selects the best method. |
Simulates a CTS subordinator. The distribution has Laplace transform
L(z) = exp( c int_0^infty (e^(-xz)-1)e^(-x/ell) x^(-1-alpha) dx), z>0
and Levy measure
M(dx) = c e^(-x/ell) x^(-1-alpha) 1(x>0)dx.
Returns a vector of n random numbers.
Uses the method retstable in the copula package.
Michael Grabchak and Lijuan Cao
M. Grabchak (2016). Tempered Stable Distributions: Stochastic Models for Multiscale Processes. Springer, Cham.
rSubCTS(20, .7, 1, 1)