BNPdensity (version 0.7.8)

MvInv: Inversed jump heights function

Description

Determines the jump heights of an increasing additive process by inverting the M(v) function.

Usage

MvInv(w, u, alpha, beta, gama, N)

Details

For internal use.

Examples

## The function is currently defined as
function (w, u = 0.5, alpha = 1, beta = 1, gama = 1/2, N = 3001) 
{
    n <- length(w)
    v <- rep(NA, n)
    x <- -log(seq(from = exp(-1e-05), to = exp(-10), length = N))
    f <- alpha/gamma(1 - gama) * x^(-(1 + gama)) * exp(-(u + 
        beta) * x)
    dx <- diff(x)
    h <- (f[-1] + f[-N])/2
    Mv <- rep(0, N)
    for (i in seq(N - 1, 1)) Mv[i] <- Mv[i + 1] + dx[i] * h[i]
    for (j in seq(n)) v[j] <- x[which.min(Mv > w[j])]
    return(v)
  }