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 (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>.
| Version: |
0.2.2 |
| Depends: |
R (≥ 4.2), methods |
| Imports: |
copula (≥ 1.1-2), doParallel (≥ 1.0.12), foreach (≥ 1.5.0), gsl (≥ 2.1-8), hypergeo (≥ 1.2-13), 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: |
2023-10-24 |
| DOI: |
10.32614/CRAN.package.TempStable |
| Author: |
Till Massing [cre, aut],
Cedric Maximilian Juessen [aut] |
| Maintainer: |
Till Massing <till.massing at uni-due.de> |
| BugReports: |
https://github.com/TMoek/TempStable/issues |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://github.com/TMoek/TempStable |
| NeedsCompilation: |
no |
| Materials: |
README, NEWS |
| In views: |
Distributions |
| CRAN checks: |
TempStable results |
Documentation:
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