Exact density of the resolution-date log-odds \(L_T\) given current
probability q and event-clock time A: a two-component Gaussian
mixture with means \(L \pm A/2\), common variance A, and weights
\((q, 1-q)\).
Usage
ec_transition_density(l, q, A)
Arguments
- l
Numeric vector of evaluation points (log-odds scale).
- q
Numeric vector of current event probabilities in \((0,1)\).
- A
Numeric vector of event-clock time (non-negative).
Value
Numeric vector of density values.
Examples
grid <- seq(-4, 2, length.out = 200)
dens <- ec_transition_density(grid, q = 0.195, A = 0.166)
# integrates to one:
sum(dens) * diff(grid)[1]
#> [1] 1
