R/Examples/example_cf_LogRV_ChiSquare.R

In gajdosandrej/CharFunToolR: Numerical Computation Cumulative Distribution Function and Probability Density Function from Characteristic Function

## EXAMPLE 1
# CF of a weighted linear combination of independent log-ChiSquare RVs
coef <- c(1, 2, 3, 4, 5)
weight <- coef / sum(coef)
df <- c(1, 2, 3, 4, 5)
t <- seq(from = -20,
         to = 20,
         length.out = 1001)
plotReIm(function(t)
        cf_LogRV_ChiSquare(t, df, weight),
        t,
        title = 'CF of a linear combination of minus log-ChiSquare RVs')

## EXAMPLE 2
# PDF/CDF of a linear combination of independent log-ChiSquare RVs
coef <- c(1, 2, 3, 4, 5)
weight <- coef / sum(coef)
df <- c(1, 2, 3, 4, 5)
cf <- function(t)
        cf_LogRV_ChiSquare(t, df, weight)
options <- list()
options$N <- 2 ^ 12
prob <- c(0.9, 0.95, 0.99)
result <- cf2DistGP(cf = cf, prob = prob, options = options)
str(result)