FromCF2yuima_law: From a Characteristic Function to an 'yuima.law-object'

In yuima: The YUIMA Project Package for SDEs

From a Characteristic Function to an yuima.law-object

Description

This function returns an object of yuima.law-class and requires the characteristic function as the only input. Density, Random Number Generator, Cumulative Distribution Function and quantile function are internally constructed

Usage

FromCF2yuima_law(myfun, time.names = "t", var_char = "u", up = 45, 
low = -45, N_grid = 50001, N_Fourier = 2^10)

Arguments

myfun	A string that is the name of the characteristic function defined by Users.
time.names	Label of time.
var_char	Argument of the characteristic function.
up	Upper bound for the internal integration.
low	Lower bound for the internal integration.
N_grid	Observation grid.
N_Fourier	Number of points for the Fourier Inversion.

Details

The density function is obtained by means of the Fourier Transform.

Value

An object of yuima.law-class.

Author(s)

The YUIMA Project Team

Contacts: Lorenzo Mercuri [e-mail]

yuima documentation built on April 16, 2025, 5:12 p.m.