nConst_MC {FitDynMix}

Monte carlo approximation of the normalizing constant of a Lognormal-GPD dynamic mixture

Description

This function evaluates via Monte Carlo simulation the normalizing constant of a Lognormal-GPD dynamic mixture, with Cauchy or exponential weight.

Usage

nConst_MC(x, nreps, xiInst = 3, betaInst = 3, weight)

Arguments

x

if weight is equal to 'cau', (6 by 1) numerical vector: values of \mu_c, \tau, \mu, \sigma, \xi, \beta; if weight is equal to 'exp', (5 by 1) numerical vector: values of \lambda, \mu, \sigma, \xi, \beta.

nreps

number of replications to be used in the computation of the integral in the normalizing constant.

xiInst

real: value of the shape parameter of the instrumental density. Default value equal to 3.

betaInst

non-negative real: value of the scale parameter of the instrumental density. Default value equal to 3.

weight

'cau' or 'exp': name of weight distribution.

Value

Normalizing constant of the density of the lognormal-GPD mixture.

Examples

nconst <- nConst_MC(c(1,2,0,0.5,0.25,3.5), 10000, 3, 3, 'cau')