mrwd: Fit a Multivariate Random Walk with Drift
In StMoMo: Stochastic Mortality Modelling

Description Usage Arguments Details Value References

Fits a Multivariate Random Walk with Drift to x, a multivariate time series.

mrwd(x)

`x`	numeric matrix with a multivariate time series. Series are arranged in rows with columns representing time.

For further information on the Multivariate Random Walk with drift see Appendix B in Haberman and Renshaw (2011).

an object of class "mrwd" with components:

`drift`	a vector with the estimated drift.
`sigma`	a matrix with the estimated variance covariance matrix.
`fitted`	fitted values.
`residuals`	residuals from the fitted model. That is observed minus fitted values.
`x`	the original time series.

Haberman, S., & Renshaw, A. (2011). A comparative study of parametric mortality projection models. Insurance: Mathematics and Economics, 48(1), 35-55.

StMoMo documentation built on May 2, 2019, 11:42 a.m.