39 lines
1.2 KiB
R
39 lines
1.2 KiB
R
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# Get distribution function from characteristic function
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#
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# Author: François Pelletier
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###############################################################################
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#' Get distribution function from characteristic function
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#'
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#' @param char.fun Vectorized characteristic function
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#' @param n Amount of discretization points
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#' @param min Lower bound for distribution function
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#' @param max Upper bound for distribution function
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#' @param param Characteristic function parameters
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#' @param wmin Lower bound for transform variate
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#' @param wmax Upper bound for transform variate
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#' @return Distribution function values evaluated on [min,max] range
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#' @author François Pelletier
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cftocdf <- function(char.fun,n,min,max,param,wmin=0,wmax=50,MSwindows=FALSE)
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{
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grid <- seq(from=min,to=max,length.out=n)
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integrand <- function(w,x,char.fun,param,wmax=50) (1-w/wmax)*
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Im(exp(-1i*w*x)*char.fun(w,param)) / w
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if(!MSwindows)
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{
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unlist(mclapply(grid,
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function(x) 1/2-1/pi*
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integrate(integrand,wmin,wmax,x,char.fun,param)$value))
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}
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else
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{
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warning("For faster calculations, use a POSIX compatible Operating System")
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Fx <- numeric(n)
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for(i in 1:n)
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{
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Fx[i] <- 1/2-1/pi*integrate(integrand,wmin,wmax,x,char.fun,param)$value
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}
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}
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}
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