getInnovation | R Documentation |
This function calculates innovations in WAR(p) models
getInnovation(quantile, quantile.grid, p)
quantile |
A matrix containing all the available quantile functions. Columns represent time indices and rows represent evaluation grid. |
quantile.grid |
A numeric vector, the grid over which quantile functions are evaluated. |
p |
A positive integer, the order of the fitted WAR(p) model. |
A list with
innovation - The tangent space innovations evaluated over the quantile grid. Fitting a WAR(p) model for n observations will produce n-2p innovations.
cov.surf - The covariance surface
Wasserstein Autoregressive Models for Density Time Series, Chao Zhang, Piotr Kokoszka, Alexander Petersen, 2022
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