| 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.