Quantile Function In a Simple Log-Linear model
Suppose the random variable X has density function
g_θ(x) = (θ exp(θ x))/(exp(θ) - 1)
for an arbitrary real number θ and x \in [0,1]. The function qloglin is simply the
quantile function
G^{-1}_θ(u) = θ^{-1} log (1 + (e^θ - 1)u)
in this model, for u \in [0,1]. This quantile function is used for the computation of quantiles of \widehat F_m in quantilesLogConDens.
qloglin(u, t)
u |
Vector in [0,1]^d where quantiles are to be computed at. |
t |
Parameter θ. |
z |
Vector containing the quantiles G_n^{-1}(u_i) for i = 1, …, d. |
Taylor approximation is used if θ is small.
This function is not intended to be called by the end user.
Kaspar Rufibach, kaspar.rufibach@gmail.com,
http://www.kasparrufibach.ch
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