matrixXD: Construct an 'xDensity' representation of a known...
In mlysy/GaussCop: Utilities for the Gaussian Copula Distribution

Description Usage Arguments Value Examples

Construct an xDensity representation of a known distribution.

1	matrixXD(XY, mean, sd)

`XY`	2-column matrix representation of a univariate density. The first column is a grid of x values giving the centers of bins. The second column are the corresponding densities.
`mean, sd`	Optional mean and standard deviation of the Normal distribution to use outside the grid values in `XY`. Defaults to grid-based approximation using `XY`.

An xDensity object. See xDensity.

# xDensity approximation to a noncentral-t distribution

# true parameters
lambda <- rnorm(1) # noncentrality parameter
nu <- runif(1, 4, 6) # degrees of freedom

# xDensity encoding of known PDF
xlim <- qt(c(.005, .995), df = nu, ncp = lambda) # discretization range
xseq <- seq(xlim[1], xlim[2], len = 200) # where to evaluate density
xDens <- matrixXD(cbind(xseq, dt(xseq, df = nu, ncp = lambda)))

# true vs approximate PDFs
curve(dt(x, df = nu, ncp = lambda),
      from = xlim[1], to = xlim[2], ylab = "Density")
curve(dXD(x, xDens = xDens), add = TRUE, col = "red")
legend("topleft", legend = c("True PDF", "xDensity Approx."),
       fill = c("black", "red"))