ecd.imgf: Incomplete MGF of ecd

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Incomplete MGF of ecd

Description

Incomplete moment generating function (IMGF) of ecd, integration of e^z P(z) for z from x to Inf. ecd.mu_D is simply a wrapper around MGF.

Usage

ecd.imgf(
  object,
  x = -Inf,
  t = 1,
  minus1 = FALSE,
  unit.sigma = FALSE,
  n.sigma = .ecd.mpfr.N.sigma,
  verbose = FALSE
)

ecd.mu_D(object)

Arguments

object	an object of ecd class
x	a numeric vector of x, default to -Inf
t	a numeric value for MGF, default to 1
minus1	logical, subtracting one from e^{tx}
unit.sigma	logical, transforming to unit sigma to achieve greater stability. Due to the instability of quadpack for ecd.integrate_pdf, default to TRUE. But constructing a new ecd object has significant overhead, be aware of it in performance sensitive program.
n.sigma	length-one numeric, specifying the max number of sigma to check for truncation.
verbose	logical, display timing information, for debugging purpose.

Value

The IMGF

Author(s)

Stephen H. Lihn

Examples

d <- ecd(0, 0, sigma=0.01)
x <- seq(0, 1, by=0.1)
ecd.imgf(d, x)

ecd documentation built on May 10, 2022, 1:07 a.m.