expectation.dist: Expectation operator applied to 'x' of type 'dist' with...

In queelius/algebraic.dist: Algebra over distribution (random elements) objects

Expectation operator applied to x of type dist with respect to a function g. That is, E(g(x)).

Description

Optionally, we use the CLT to construct a CI(alpha) for the estimate of the expectation. That is, we estimate E(g(x)) with the sample mean and Var(g(x)) with the sigma^2/n, where sigma^2 is the sample variance of g(x) and n is the number of samples. From these, we construct the CI.

Usage

## S3 method for class 'dist'
expectation(x, g = function(t) t, ..., control = list())

Arguments

x	dist object
g	characteristic function of interest, defaults to identity
...	additional arguments to pass to g
control	a list of control parameters: compute_stats - Whether to compute CIs for the expectations, defaults to FALSE n - The number of samples to use for the MC estimate, defaults to 10000 alpha - The significance level for the confidence interval, defaults to 0.05

Value

If compute_stats is FALSE, then the estimate of the expectation, otherwise a list with the following components: value - The estimate of the expectation ci - The confidence intervals for each component of the expectation n - The number of samples

queelius/algebraic.dist documentation built on Jan. 27, 2025, 8:46 a.m.