FromCF2yuima_law function

From a Characteristic Function to an yuima.law-object.

This function returns an object of yuima.law-class and requires the characteristic function as the only input. Density, Random Number Generator, Cumulative Distribution Function and quantile function are internally constructed

FromCF2yuima_law(myfun, time.names = "t", var_char = "u", up = 45, 
low = -45, N_grid = 50001, N_Fourier = 2^10)

Arguments

• myfun: A string that is the name of the characteristic function defined by Users.
• time.names: Label of time.
• var_char: Argument of the characteristic function.
• up: Upper bound for the internal integration.
• low: Lower bound for the internal integration.
• N_grid: Observation grid.
• N_Fourier: Number of points for the Fourier Inversion.

Details

The density function is obtained by means of the Fourier Transform.

Returns

An object of yuima.law-class.

Author(s)

The YUIMA Project Team

Contacts: Lorenzo Mercuri lorenzo.mercuri@unimi.it