| Library: | VaR |
| See also: | VaRcharfDGF2 VaRcdfDG |
| Quantlet: | VaRcorrfDGF2 | |
| Description: | computes the cumulative distribution function (CDF) of an approximated normal distribution for the class of quadratic forms of Gaussian vectors. |
| Usage: | r = VaRcorrfDGF2(x,l) | |
| Input: | ||
| x | the argument to the CDF | |
| l | a list defining the distribution; contains at least the components: theta - the constant delta - the linear term lambda - the diagonal of the quadratic term | |
| Output: | ||
| r | the value of the approximated normal CDF at x | |
library("VaR")
theta = 0
delta = #(1)
lambda = #(1)
par = list(theta,delta,lambda)
VaRcorrfDGF2(#(-1,0,1),par)
Contents of r [1,] 0.11032 [2,] 0.34154 [3,] 0.65846