simTandW {SubTS} | R Documentation |
Simulates the hitting time T and the overshoot W of a stable process by implimenting Algorithm 4.1 in Dassios, Qu, and Lim (2020). This is important for simulating other distribution.
simTandW(alpha)
alpha |
Parameter in the open interval (0,1). |
Returns one pair of random numbers. The first is T and the second is W.
Michael Grabchak and Lijuan Cao
A. Dassios, Y. Qu, J.W. Lim (2020). Exact simulation of a truncated Levy subordinator. ACM Transactions on Modeling and Computer Simulation, 30(10), 17.
simTandW(.6)