TruncGauss.kernel: Truncated Gaussian kernel function

In extremefit: Estimation of Extreme Conditional Quantiles and Probabilities

Description

Truncated Gaussian kernel function

Usage

TruncGauss.kernel(x, sigma = 1)

Arguments

x	a vector.
sigma	the standard deviation of the truncated gaussian kernel.

Details

Truncated Gaussian Kernel with sigma the standard deviation parameter with default value 1.

K(x) = (1/{sigma*sqrt(2 π)} exp(-(x/sigma)^2/2)) (abs(x) <= 1)

We recommend a critical value of 3.6 for this kernel with sigma=1.

Examples

plot(function(x) TruncGauss.kernel(x), -2, 2,
main = " Truncated Gaussian kernel")

extremefit documentation built on May 6, 2019, 1:10 a.m.