# Differenciation of the cumulant generating fonction of the # GAL distribution # # Author: Francois Pelletier # # LGPL 3.0 ############################################################################### #' Differenciation of the cumulant generating fonction of the #' GAL distribution #' @param u Transform variate point of evaluation #' @param order Order of differenciation #' @param param Parameters of the GAL distirbution #' @param eval.time Time of the process #' @param type Choose between "mu" or "kappa" parametrization #' @param log Logical for log-parameters #' @return The value of the derivative at the transform variate point #' of evaluation #' #' @author Francois Pelletier diffcgfGAL <- function(u,order,param,eval.time=1,type="mu",log=FALSE) { if(type=="mu") { if(order==1) { } if(order==2) { 2*eval.time*param[4]*(2*param[2]^2*u*param[3]+ 2*param[3]^2+2*param[2]^2+param[2]^4*u^2)/ (-2+param[2]^2*u^2+2*param[3]*u)^2 } if(order==3) { -4*eval.time*param[4]*(3*param[2]^4*u^2*param[3]+ 6*param[2]^2*u*param[3]^2+param[2]^6*u^3+ 6*param[2]^4*u+6*param[2]^2*param[3]+4*param[3]^3)/ (-2+param[2]^2*u^2+2*param[3]*u)^3 } if(order==4) { (12*param[2]^8*param[4]*u^4+48*param[3]*param[2]^6*param[4]*u^3+ (144*param[2]^6+144*param[3]^2*param[2]^4)*param[4]*u^2+ (288*param[3]*param[2]^4+192*param[3]^3*param[2]^2)*param[4]*u+ (48*param[2]^4+192*param[3]^2*param[2]^2+96*param[3]^4)*param[4])/ (param[2]^8*u^8+8*param[3]*param[2]^6*u^7+ (24*param[3]^2*param[2]^4-8*param[2]^6)*u^6+ (32*param[3]^3*param[2]^2-48*param[3]*param[2]^4)*u^5+ (24*param[2]^4-96*param[3]^2*param[2]^2+16*param[3]^4)*u^4+ (96*param[3]*param[2]^2-64*param[3]^3)*u^3+ (96*param[3]^2-32*param[2]^2)*u^2+(-64)*param[3]*u+16) } } if(type=="kappa") { if(order==1) { } if(order==2) { } if(order==3) { } if(order==4) { } } }