Library: | VaR |
See also: | VaRcumulantsDG |
Quantlet: | VaRcumulantDG | |
Description: | computes the n-th cumulant for the class of quadratic forms of Gaussian vectors. |
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 |
library("VaR") theta = 0 delta = #(1) lambda = #(1) par = list(theta,delta,lambda) VaRcumulantDG(3,par)
Contents of c [1,] 4