Re: [R] convolution of the double exponential distribution

From: Duncan Murdoch <murdoch_at_stats.uwo.ca>
Date: Fri 23 Dec 2005 - 12:23:04 EST

On 12/22/2005 7:56 PM, Bickel, David wrote:
> Is there any R function that computes the convolution of the double
> exponential distribution?
>
> If not, is there a good way to integrate ((q+x)^n)*exp(-2x) over x from
> 0 to Inf for any value of q and for any positive integer n? I need to
> perform the integration within a function with q and n as arguments. The
> function integrate() is giving me this message:
>
> "evaluation of function gave a result of wrong length"

Under the substitution of y = q+x, that looks like a gamma integral. The x = 0 to Inf range translates into y = q to Inf, so you'll need an incomplete gamma function, such as pgamma. Be careful to get the constant multiplier right.

Duncan Murdoch



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