getInnovation: Calculating innovations in WAR(p) models

In WRI: Wasserstein Regression and Inference

Calculating innovations in WAR(p) models

Description

This function calculates innovations in WAR(p) models

Usage

getInnovation(quantile, quantile.grid, p)

Arguments

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.

Value

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

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.