dist_fft: FFT density, distribution and quantile method

In tsmarch: Multivariate ARCH Models

FFT density, distribution and quantile method

Description

FFT density, distribution and quantile method

Usage

dfft(object, ...)

pfft(object, ...)

qfft(object, ...)

## S3 method for class 'gogarch.fft'
dfft(object, index = 1, ...)

## S3 method for class 'gogarch.fft'
pfft(object, index = 1, ...)

## S3 method for class 'gogarch.fft'
qfft(object, index = 1, ...)

## S3 method for class 'gogarch.fftsim'
dfft(object, index = 1, sim = 1, ...)

## S3 method for class 'gogarch.fftsim'
pfft(object, index = 1, sim = 1, ...)

## S3 method for class 'gogarch.fftsim'
qfft(object, index = 1, sim = 1, ...)

Arguments

object	an object of class “gogarch.fft” formed by calling the tsconvolve method.
...	additional parameters passed to the method.
index	the time index on which to generate the function.
sim	the simulation draw on which to generate the function (for the predict and simulate objects).

Details

These methods generate smooth approximation to the distribution functions, returning in turn a function object which can be further called with additional arguments expected from the density, distribution and quantile functions. Random number generation can be achieved through the use of uniform random variates and the quantile function (inverse CDF method).

Value

an function object which can then be called to calculate the density distribution or quantile for a particular instance (or time point),

tsmarch documentation built on April 3, 2025, 7:40 p.m.