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