Library: | VaR |
See also: | VaRcumulantDG |
Quantlet: | VaRcumulantsDG | |
Description: | compute the first n cumulants for the class of quadratic forms of Gaussian vectors. |
Usage: | r = VaRcumulantsDG(n,l) | |
Input: | ||
n | scalar, highest order of cumulants to be computed | |
l | a list defining the distribution; contains at least the following components: theta - the constant term Delta - the linear term (the first derivative) Gamma - the quadratic term (the Hessian matrix) Sigma - the covariance matrix | |
Output: | ||
r | n x 1 vector of the first n cumulants |
library("VaR") library("xplore") theta = 0 Delta = #(1) Gamma = unit(1) Sigma = unit(1) par = list(theta,Delta,Gamma,Sigma) VaRcumulantsDG(4,par)
Contents of r [1,] 0.5 [2,] 1.5 [3,] 4 [4,] 15