rmap.mvn: Computes the distribution of 'g(x)' where 'x' is an 'mvn'...

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

Computes the distribution of g(x) where x is an mvn object.

Description

By the invariance property, if x is an mvn object, then under the right conditions, asymptotically, g(x) is an MVN distributed, g(x) ~ normal(g(mean(x)), sigma) where sigma is the variance-covariance of g(x)

Usage

## S3 method for class 'mvn'
rmap(x, g, n = 10000L, ...)

Arguments

x	The mvn object to apply g to
g	The function to apply to x
n	number of samples to take to estimate distribution of g(x) if method is mc or empirical. Defaults to 10000.
...	additional arguments to pass into the g function.

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