Exp_Map_Barycenter_Method_pw: Numerical implementation of the pointwise Exponential map

In WRI: Wasserstein Regression and Inference

Numerical implementation of the pointwise Exponential map

Description

This function implements the Exponential map to calculate \hat{F}_t(u) for a fixed u

Usage

Exp_Map_Barycenter_Method_pw(u, forecast, cdf)

Arguments

u	The value where the cdf \hat{F} is evaluated
forecast	A vector that contains the WAR(p) model forecast result
cdf	The quantile grid used in forecasting

Value

A numeric value \hat{F}_t(u)

References

Wasserstein Autoregressive Models for Density Time Series, Chao Zhang, Piotr Kokoszka, Alexander Petersen, 2022

WRI documentation built on July 9, 2022, 1:06 a.m.