Library: | VaR |
See also: | VaRcharfDG VaRcdfDG |
Quantlet: | VaRcharfDGF2 | |
Description: | computes the Fourier transform of an approximating Gaussian cumulative distribution function (CDF) for the class of quadratic forms of Gaussian vectors. |
Usage: | r = VaRcharfDGF2(t,l) | |
Input: | ||
t | the complex argument of the transformed function | |
l | a list defining the distribution; contains at least the following components: theta - the constant term delta - the linear term lambda - the diagonal of the quadratic term | |
Output: | ||
r | the (complex) value of the Fourier inversion at t |
library("VaR") theta = 0 delta = #(1) lambda = #(1) par = list(theta,delta,lambda) VaRcharfDGF2(complex(#(-1,0,1),#(0,0,0)),par)
Contents of r.re [1,] 0.13333 [2,] 0 [3,] 0.13333 Contents of r.im [1,] -0.23369 [2,] 0 [3,] 0.23369