rF2 {SubTS} | R Documentation |
Simulates from the pdf f_2(x) intruduced in Grabchak (2021).
rF2(n, a, p)
n |
Number of observations. |
a |
Parameter in [0,1). |
p |
Parameter >1. |
Uses Algorithm 2 in Grabchak (2021) to simulate from the pdf
f_2(x) = (exp(-x^p) - exp(-x))*x^(-1-a)/K_2, 0<x<1
where K_2 is a normalizing constant. This is needed to simulate p-RDTS random variables.
Returns a vector of n random numbers.
Michael Grabchak and Lijuan Cao
M. Grabchak (2021). An exact method for simulating rapidly decreasing tempered stable distributions. Statistics and Probability Letters, 170: Article 109015.
rF2(10, .7, 2.5)