23 lines
827 B
R
23 lines
827 B
R
# Saddlepoint approximation of the density function of the
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# 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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#' Saddlepoint approximation of the density function of the
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#' GAL distribution
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#' @param x vector of quantiles
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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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#' @export dsaddleapproxGAL
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#' @return Saddlepoint approximation of the density function
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#' @author Francois Pelletier
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dsaddleapproxGAL <- function(x,param,eval.time=1,type="mu",log=FALSE)
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{
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s <- saddlepointGAL(x,param,eval.time,type,log)
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1/sqrt(2*pi*diffcgfGAL(s,2,param,eval.time,type,log)) * exp(cgfGAL(s,param,type,log)-s*x)
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}
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