XploRe Help : VaRcumulantDG

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:	VaRcumulantsDG

Quantlet:		VaRcumulantDG
Description:		computes the n-th cumulant for the class of quadratic forms of Gaussian vectors.

Reference(s):

Jaschke, S. (2001). The Cornish-Fisher-Expansion in the Context of Delta-Gamma-Normal Approximations.

Link:

Cornish-Fisher-Expansion

Usage:	`c = VaRcumulantDG(n,l)`
Input:
	`n`	scalar, order of the required cumulant; n=1 is the mean
	`l`	a list defining the distribution; contains at least the components: theta - the constant term delta - the linear term lambda - the diagonal of the quadratic term
Output:
	`c`	scalar, the n-th cumulant

Note:

This function requires the eigenvalue decomposition that diagonalizes the quadratic term. VaRcumulantsDG computes the first n cumulants without need for the initial diagonalization.

Example:

library("VaR") theta = 0 delta = #(1) lambda = #(1) par = list(theta,delta,lambda) VaRcumulantDG(3,par)

Result:

Contents of c
[1,]        4

Author: S. Jaschke, 20011026 license MD*Tech