34 lines
932 B
R
34 lines
932 B
R
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# Cumulant generating function of the
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# Esscher transform with parameter 1 of GAL distribution
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#
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# Author: Francois Pelletier
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#
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# LGPL 3.0
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###############################################################################
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#' Cumulant generating function of the
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#' Esscher transform with parameter 1 of GAL distribution
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#' @param u Transform variate
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#' @param param Parameter vector
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#' @param eval.time Time of the process
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#' @param type Choose between "mu" or "kappa" parametrization
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#' @param log Logical for log-parameters
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#' @return Cumulant generating function value at point u for given parameter vector
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#'
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#' @author Francois Pelletier
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cgfEsscherGAL <- function(u,param,eval.time=1,type="mu",log=FALSE)
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{
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if(type=="mu")
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{
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log((exp(param[1]*(u+1))/(1-(1/2)*param[2]^2*(u+1)^2-param[3]*(u+1))^param[4])^eval.time/
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(exp(param[1])/(1-(1/2)*param[2]^2-param[3])^param[4])^eval.time)
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}
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if(type=="kappa")
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{
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}
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}
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