TempStable

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) ). 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.