dSubCTS {SubTS} | R Documentation |
Evaluates the pdf of the classical tempered stable (CTS) subordinator. When alpha=0 this is the pdf of the gamma distribution.
dSubCTS(x, alpha, c, ell)
x |
Vector of real numbers. |
alpha |
Parameter in [0,1). |
c |
Parameter >0 |
ell |
Tempering parameter >0 |
Returns the pdf of a classical tempered stable 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 real numbers corresponding to the values of pdf.
Uses the method dtweedie in the Tweedie package.
Michael Grabchak and Lijuan Cao
M. Grabchak (2016). Tempered Stable Distributions: Stochastic Models for Multiscale Processes. Springer, Cham.
x = (0:20)/10
dSubCTS(x, .5, 1, 1.5)