I've been trying to figure this out for a while, but my knowledge of R is obviously
still too limited.
The context is as follows: I have some time series, and I would like to estimate
their densities, and then use the actual densities in a monte carlo simulation. Now,
I can easily estimate the density using density(); I can write a random number
generator to fit an arbitrary density function (using the rejection method), but I
can't figure out how to get a density function from the estimator.
Any idea how I can go about that?
Thanks in advance,
Burkhard Kloss
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