GaussianDensity: computes the density function of a gaussian process

In MultiATSM: Multicountry Term Structure of Interest Rates Models

computes the density function of a gaussian process

Description

computes the density function of a gaussian process

Usage

GaussianDensity(res, SS, invSS, logabsdetSS)

Arguments

res	matrix of residuals (N x T)
SS	covariance matrice or array of covariance matrices (N x N) or (N x N x T)
invSS	Inverse of SS (N x N) or (N x N x T) - optional input
logabsdetSS	log(abs(|SS|)) (1 x T) - optional input

Value

y vector of density (1 x T)

References

This function is based on the "Gaussian" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029

MultiATSM documentation built on April 4, 2025, 1:40 a.m.