ifsp.setQF: Sets up the quadratic form for the IFSP

In ifs: Iterated Function Systems

Sets up the quadratic form for the IFSP

Description

Tool function to construct the quadratic form x'Qx + b'x to be minimized to construct the IFSP operator.

Usage

ifsp.setQF(m, s, a, n = 10)

Arguments

m	the vector of the sample or true moments of the target function
s	the vector of coefficients s_i in: w_i = s_i *x + a_i
a	the vector of coefficients a_i in: w_i = s_i *x + a_i
n	number of parameter to use in the IFSP operator, default = 10

Details

This operator is intended to approximate a continuous distribution function of a random variable on [0,1]. If moments are estimated on a random sample, then the IFSP operator is an estimator of the distribution function of the data.

Value

Q	the matrix of the quadratic form
b	the matrix of the quadratic form

Author(s)

S. M. Iacus

References

Iacus, S.M, La Torre, D. (2005) Approximating distribution functions by iterated function systems, Journal of Applied Mathematics and Decision Sciences, 1, 33-46.

See Also

ifs

ifs documentation built on Dec. 5, 2022, 9:07 a.m.