ff_dist_integrate_normal: Trapezoidal rule style discretized normal random variable.

In FanWangEcon/REconTools: R Tools for Panel Data and Optimization

Description

Supose epsilon follows the normal distribution. Draw it_eps number of normal shocks that best approximates the normal distribution. Outputs a number of statistics to check to quality of approximation

Usage

ff_dist_integrate_normal(fl_eps_mean = 0, fl_eps_sd = 1, it_eps = 10)

Arguments

fl_eps_mean	float mean of the normal distribution
fl_eps_sd	float sd of the normal distribution
it_eps	integer number of discretized points to return

Value

a list of normal draw arrays and checks

• ar_eps_val - An array of shock draws as Discrete Random Variable

• ar_eps_prb - The probability mass for each discrete point

• fl_cdf_total_approx - Approximated aggregate probability

• fl_mean_approx - Approximated mean given draws array

• fl_sd_approx - Approximated standard deviation given draws array

Author(s)

Fan Wang, http://fanwangecon.github.io

References

https://fanwangecon.github.io/REconTools/reference/ff_dist_integrate_normal.html https://github.com/FanWangEcon/REconTools/blob/master/R/ff_dist_integrate.R

Examples

ff_dist_integrate_normal(fl_eps_mean=60, fl_eps_sd = 20, it_eps=3)
ff_dist_integrate_normal(fl_eps_mean=60, fl_eps_sd = 20, it_eps=5)
ff_dist_integrate_normal(fl_eps_mean=60, fl_eps_sd = 20, it_eps=7)
ff_dist_integrate_normal(fl_eps_mean=60, fl_eps_sd = 20, it_eps=9)
ff_dist_integrate_normal(fl_eps_mean=60, fl_eps_sd = 20, it_eps=11)
ff_dist_integrate_normal(fl_eps_mean=60, fl_eps_sd = 20, it_eps=13)
ff_dist_integrate_normal(fl_eps_mean=60, fl_eps_sd = 20, it_eps=15)

FanWangEcon/REconTools documentation built on Jan. 21, 2022, 10:28 p.m.