Library: | smoother |
See also: | denest nparmaest |
Quantlet: | dcdenest | |
Description: | estimates a univariate density of a random variable that is convoluted with a Gaussian random variable. The estimation is based on deconvolution by inverting the characteristic function. |
Usage: | dh = dcdenest(x, h {,R}) | |
Input: | ||
x | n x 1 vector, containing the data. | |
h | scalar, bandwidth. | |
R | optional positive scalar, number of grid points for internal approximations. (Default is 200.) | |
Output: | ||
dh | R x 2 matrix, estimated density. |
library("smoother") library("times") h=0.8 x=genarma(0.8,0.8,normal(200)) dh=dcdenest(x,h) plot(setmask(dh,"line"))
Plot of the density function.