41 lines
1.3 KiB
R
41 lines
1.3 KiB
R
# 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 grid Distribution function evaluation points
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#' @param char.fun Vectorized characteristic function
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#' @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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#' @param MSwindows Is OS Windows ? (use of fork() in *nix)
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#' @return Distribution function values evaluated on [min,max] range
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#' @export cftocdf
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#' @author François Pelletier
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cftocdf <- function(grid,char.fun,...,wmin=0,wmax=50,MSwindows=FALSE)
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{
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n <- length(grid)
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# Integral in the Gil-Pelaez Ttheorem
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integrand <- function(w,x,char.fun,...,wmax=50) (1-w/wmax)*
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Im(exp(-1i*w*x)*char.fun(w,...)) / w
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# Integrate for each grid point using parallel computation if available
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if(!MSwindows)
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{
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return(unlist(mclapply(grid,
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function(x) 1/2-1/pi*
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integrate(integrand,wmin,wmax,x,char.fun,...)$value)))
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}
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else
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{
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warning("For faster calculations, use a POSIX compatible Operating System")
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Fx <- numeric(n)
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for(i in 1:n)
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{
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Fx[i] <- 1/2-1/pi*integrate(integrand,wmin,wmax,grid[i],char.fun,...)$value
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}
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return(Fx)
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}
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}
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