predict.WARp: Prediction by WAR(p) models

In WRI: Wasserstein Regression and Inference

Prediction by WAR(p) models

Description

a method of the WARp class which produces a one-step ahead prediction by WAR(p) models

Usage

## S3 method for class 'WARp'
predict(object, dSup, expSup, ...)

Arguments

object	A WARp object, the output of WARp().
dSup	Optional, a numeric vector, the grid over which forecasted cdf/pdf is evaluated. Should be supplied/ignored with expSup together.
expSup	Optional, a numeric vector, the grid over the Exponential map is applied, dSup should cover and be denser than expSup. Should be supplied/ignored with dSup together.
...	Further arguments passed to or from other methods.

Value

A list of:

pred.cdf	predicted cdf
pred.pdf	predicted pdf
dSup	support of the predicted cdf/pdf

References

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

See Also

WARp

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