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TempStable
View on CRAN: Click
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Download and install TempStable package within the R console
Install from CRAN:
install.packages("TempStable")
Install from Github:
library("remotes")
install_github("cran/TempStable")
Install by package version:
library("remotes")
install_version("TempStable", "0.2.2")
Attach the package and use:
library("TempStable")
Maintained by
Till Massing
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-03-17
Latest Update: 2023-10-24
Description:
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) <doi:10.48550/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>.
How to cite:
Till Massing (2023). TempStable: A Collection of Methods to Estimate Parameters of Different Tempered Stable Distributions. R package version 0.2.2, https://cran.r-project.org/web/packages/TempStable
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