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
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:

Reference manual: TempStable.pdf

Downloads:

Package source: TempStable_0.2.2.tar.gz
Windows binaries: r-devel: TempStable_0.2.2.zip, r-release: TempStable_0.2.2.zip, r-oldrel: TempStable_0.2.2.zip
macOS binaries: r-release (arm64): TempStable_0.2.2.tgz, r-oldrel (arm64): TempStable_0.2.2.tgz, r-release (x86_64): TempStable_0.2.2.tgz
Old sources: TempStable archive

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