Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: VaR
See also: VaRcharfDG

Quantlet: VaRcdfDG
Description: approximates the cumulative distribution function (CDF) for the class of quadratic forms of Gaussian vectors.

Reference(s):

Link:
Usage: r = VaRcdfDG(l,N,K,dt)
Input:
l a list containing (at least) the components: theta - the constant delta - the linear term lambda - the diagonal of the quadratic terms
N scalar, modulus of the FFT, should have a power of 2
K scalar, number of characteristic function evaluations; K<=N
dt scalar, grid-length in t to use for the approximation
Output:
r a list containing the two components: x - the grid (vector) in x y - the values of the CDF on the grid x

Note:

Example:
library("plot")
library("VaR")
proc() = VaRcdfDGtest(par,N,dt)
  l = VaRcdfDG(par,N,N,dt)
  z = setmask(l.x~l.y, "line")
  plot(z)
endp
theta = 0
delta = #(0)
lambda = #(1.4142)
par = list(theta,delta,lambda)
VaRcdfDGtest(par,1024,0.2)

Result:
Plots the CDF of a distribution, which is close to the
chi^2 distribution with one degree of freedom.



Author: S. Jaschke, 20011026 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006