LogErrorCosPdf: Calculate the Absolute Error of the COS Method

In RMOPI: Risk Management and Optimization for Portfolio Investment

Calculate the Absolute Error of the COS Method

Description

Calculate the max absolute error of the cos method for different parameters given a vector of x.

Usage

LogErrorCosPdf(x, f, Chf, a, b, N)

Arguments

x	vector of observations
f	the true p.d.f.
Chf	the characteristic function
a	the lower limit of the truncation interval
b	the upper limit of the truncation interval
N	the number of cos term for summation

Value

A matrix that contains the log max error for different parameters

Examples

N <- c(1:200)
L <- c(10, 20, 60, 100, 1000)
a <- -L / 2
b <- L / 2
x <- seq(-5, 5, by = 10 / (32 - 1))
LogErrorCosPdf(x, dnorm, NormChf, a, b, N)

RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.