dgc4: Univariate 4th-order Gram-Charlier density approximation.
In mlysy/GaussCop: Utilities for the Gaussian Copula Distribution

Description Usage Arguments Value Examples

View source: R/dgc4.R View source: R/old/gausscop-functions.R

Univariate 4th-order Gram-Charlier density approximation.

1	dgc4(x, cmom, rm.neg = TRUE, log = FALSE)

`x`	Vector of density quantiles.
`cmom`	Vector of first 4 central moments of distribution.
`rm.neg`	Logical; if `TRUE` clips the density at smallest calculated non-negative value.
`log`	Logical; if `TRUE` returns approximating density on log scale.

Vector of density evaluations.

df <- 3
nsamples <- 100
X <- rchisq(nsamples, df=df) # iid samples from the Chi-Sq(df)

# calculate central moments
cmom <- mean(X)
cmom <- c(cmom, mean((X-cmom)^2), mean((X-cmom)^3), mean((X-cmom)^4))

curve(dgc4(x, cmom = cmom, rm.neg = TRUE), from = 0, to = 10)