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


Reference manual: TempStable.pdf
Vignettes: my-vignette


Package source: TempStable_0.1.1.tar.gz
Windows binaries: r-devel: TempStable_0.1.1.zip, r-release: TempStable_0.1.1.zip, r-oldrel: TempStable_0.1.1.zip
macOS binaries: r-release (arm64): TempStable_0.1.1.tgz, r-oldrel (arm64): TempStable_0.1.1.tgz, r-release (x86_64): TempStable_0.1.1.tgz, r-oldrel (x86_64): TempStable_0.1.1.tgz
Old sources: TempStable archive


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