R/Folded.Normal.R

In GRS.test: GRS Test for Portfolio Efficiency, Its Statistical Power Analysis, and Optimal Significance Level Calculation

Folded.Normal <-
function(m,s,Graph=TRUE){
options( warn = -1 )
  x=as.vector(seq(-m-4*s,m+4*s,length.out = 30))
  d=ifelse(x > 0, 1, 0) * (dnorm(x,mean=m,sd=s) + dnorm(-x,mean=-m,sd=s))
  if(Graph == TRUE) {plot(x,d,type="l",xlim=c(0,max(x)),main="Folded Normal Distribution",lwd=2)
    abline(v=m,col="red");abline(h=0)}
  d=d/sum(d)
  dat1=cbind(x,d)
  dat2=dat1[ dat1[,1] > 0, ] 
  return(list(x=dat2[,1],w=dat2[,2]))
}