validate_approximation

Validates the approximation quality by comparing moments of the
approximated distribution with the theoretical moments.

Implements the moment-matching approximation for differences
of non-standardized t-distributed random variables in both univariate and
multivariate settings. The package provides density, distribution function,
quantile function, and random generation for the approximated distributions
of t-differences. The methodology establishes the univariate approximated
distributions through the systematic matching of the first, second, and
fourth moments, and extends it to multivariate cases, considering both
scenarios of independent components and the more general multivariate
t-distributions with arbitrary dependence structures. Methods build
on the classical moment-matching approximation method (e.g., Casella and
Berger (2024) <doi:10.1201/9781003456285>).

Yusuke Yamaguchi

mmtdiff

Moment-Matching Approximation for t-Distribution Differences

validate_approximation function

<dl><dt>mm_result</dt>
<dd>Result from any mm_tdiff function</dd>
<dt>n_sim</dt>
<dd>Number of simulations for validation (default: 10000)</dd>
<dt>seed</dt>
<dd>Random seed for reproducibility</dd></dl>

Arguments

Validate Moment-Matching Approximation — validate_approximation

<dl>

<dt>mm_result</dt>
<dd>Result from any mm_tdiff function</dd>


<dt>n_sim</dt>
<dd>Number of simulations for validation (default: 10000)</dd>


<dt>seed</dt>
<dd>Random seed for reproducibility</dd>

</dl>

validate_approximation: Validate Moment-Matching Approximation

Description

Usage

Value

Arguments

Examples