Determines the jump heights of an increasing additive process by inverting
the M(v) function. Use a truncation level based on expected moments of the NGG process (thresholdGG
).
For internal use.
MvInv(eps, u = 0.5, alpha = 1, kappa = 1, gama = 1/2, N = 3001)
Dummy argument kept for consistency with past versions of the functions
Real number. The value of the latent variable at the current step.
Numeric constant. Total mass of the centering measure.
Numeric positive constant.
Numeric constant. Discount parameter of the NRMI process.
Number of steps in the discretization scheme for the grid inversion.
## The function has been optimised but it is morally defined as: function(eps, u = 0.5, alpha = 1, kappa = 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 + kappa) * 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)