Rotate_Lat_Obs: Rotate latent states to observed ones
In MultiATSM: Multicountry Term Structure of Interest Rates Models
Rotate_Lat_Obs R Documentation
Rotate latent states to observed ones
Description
Rotate latent states to observed ones
Usage
Rotate_Lat_Obs(X_List, U1, U0)
Arguments
X_List
list of risk-neutral parameters: (i) intercept (A_X); slope (B_X) and volatility matrix (SS_X)
U1
rotation matrix (N x N)
U0
rotation vector (N x 1)
MultiATSM documentation built on Nov. 5, 2025, 7:01 p.m.
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| Rotate_Lat_Obs | R Documentation |
Rotate latent states to observed ones
Description
Rotate latent states to observed ones
Usage
Rotate_Lat_Obs(X_List, U1, U0)
Arguments
X_List |
list of risk-neutral parameters: (i) intercept (A_X); slope (B_X) and volatility matrix (SS_X) |
U1 |
rotation matrix (N x N) |
U0 |
rotation vector (N x 1) |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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