[R] calculating density from cdf

From: Tamas K Papp <tpapp_at_princeton.edu>
Date: Fri 27 Oct 2006 - 22:00:57 GMT


Hi,

I have a vector which contains the cdf of a univariate distribution. The support of the rv is [0,1], so eg if the vector has 101 elements, the give the CDF at 0,0.01,...,1. The function is quite smooth. [1]

I would like to calculate (approximate) the density. I tried fitting a splinefun and calling it with deriv=1, but occasionally this is negative. How can I ensure at least positivity?

Thanks,

Tamas

[1] The cdf points are the result of a dynamic programming problem and is calculated numerically.



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