TempStable: A Collection of Methods to Estimate Parameters of Different
Tempered Stable Distributions
A collection of methods to estimate parameters of different tempered stable
distributions. Currently, there are three different tempered stable
distributions to choose from: Tempered stable subordinator distribution,
classical tempered stable distribution, normal tempered stable distribution.
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:
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>
Kawai & Masuda (2011) <doi:10.1016/j.cam.2010.12.014>
Kim et al. (2008) <doi:10.1016/j.jbankfin.2007.11.004>
Kuechler & Tappe (2013) <doi:10.1016/j.spa.2013.06.012>
Rachev et al. (2011) <doi:10.1002/9781118268070>.
| Version: |
0.1.1 |
| Depends: |
R (≥ 4.2), methods |
| Imports: |
doParallel (≥ 1.0.12), foreach (≥ 1.5.0), moments (≥ 0.14), numDeriv (≥ 2016.8-1), stabledist (≥ 0.7-1), StableEstim (≥
2.1), rootSolve (≥ 1.8), VGAM (≥ 1.1-7) |
| Suggests: |
knitr (≥ 1.4), rmarkdown (≥ 2.17), testthat (≥ 3.1), V8 (≥ 4.2) |
| Published: |
2023-03-27 |
| Author: |
Till Massing [aut],
Cedric Maximilian Juessen [cre] |
| Maintainer: |
Cedric Maximilian Juessen <cedric.juessen at vwl.uni-due.de> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://cedricjuessen.github.io/TempStable/ |
| NeedsCompilation: |
no |
| Materials: |
README NEWS |
| CRAN checks: |
TempStable results |
Documentation:
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