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