A Collection of Methods to Estimate Parameters of Different Tempered Stable Distributions
Characteristic function of the classical tempered stable (CTS) distrib...
Characteristic function of the generalized classical tempered stable (...
Characteristic function of the Kim-Rachev tempered stable distribution
Characteristic function of the modified tempered stable distribution
Characteristic function of the normal tempered stable (NTS) distributi...
Characteristic function of the rapidly decreasing tempered stable (RDT...
Characteristic function of the tempered stable subordinator
Density function of the classical tempered stable (CTS) distribution
Density function of generalized classical tempered stable distribution
Density Function of the Kim-Rachev tempered stable distribution
Density function of the modified tempered stable (MTS) distribution
Density function of the normal tempered stable (NTS) distribution
Density function of the rapidly decreasing tempered stable (CTS) distr...
Density function of the tempered stable subordinator (TSS) distributio...
Function to parallelize the Monte Carlo Simulation
Cumulative probability function of the classical tempered stable (CTS)...
Cumulative probability function of the generalized classical tempered ...
Cumulative probability distribution function of the Kim-Rachev tempere...
Cumulative probability function of the modified tempered stable (MTS) ...
Cumulative probability function of the normal tempered stable (NTS) di...
Cumulative probability function of the rapidly decreasing tempered sta...
Cumulative probability distribution function of the tempered stable su...
Quantile function of the classical tempered stable (CTS)
Quantile function of the normal tempered stable (NTS)
Quantile function of the tempered stable subordinator distribution
Function to generate random variates of CTS distribution.
Function to generate random variates of GTS distribution.
Function to generate random variates of KRTS distribution.
Function to generate random variates of MTS distribution
Function to generate random variates of NTS distribution.
Function to generate random variates of RDTS distribution.
Function to generate random variates of the TSS distribution.
Estimation function
Monte Carlo Simulation
TempStable: A collection of methods to estimate parameters of differen...
A collection of methods to estimate parameters of different tempered stable distributions (TSD). Currently, there are seven different tempered stable distributions to choose from: Tempered stable subordinator distribution, classical TSD, generalized classical TSD, normal TSD, modified TSD, rapid decreasing TSD, and Kim-Rachev TSD. The package also provides functions to compute density and probability functions and tools to run Monte Carlo simulations. This package has already been used for the estimation of tempered stable distributions (Massing (2023) <arXiv:2303.07060>). The following references form the theoretical background for various functions in this package. References for each function are explicitly listed in its documentation: Bianchi et al. (2010) <doi:10.1007/978-88-470-1481-7_4> Bianchi et al. (2011) <doi:10.1137/S0040585X97984632> Carrasco (2017) <doi:10.1017/S0266466616000025> Feuerverger (1981) <doi:10.1111/j.2517-6161.1981.tb01143.x> Hansen et al. (1996) <doi:10.1080/07350015.1996.10524656> Hansen (1982) <doi:10.2307/1912775> Hofert (2011) <doi:10.1145/2043635.2043638> Kawai & Masuda (2011) <doi:10.1016/j.cam.2010.12.014> Kim et al. (2008) <doi:10.1016/j.jbankfin.2007.11.004> Kim et al. (2009) <doi:10.1007/978-3-7908-2050-8_5> Kim et al. (2010) <doi:10.1016/j.jbankfin.2010.01.015> Kuechler & Tappe (2013) <doi:10.1016/j.spa.2013.06.012> Rachev et al. (2011) <doi:10.1002/9781118268070>.