| 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