polytrendMod: Create an n-th order polynomial exDQLM component

In exdqlm: Extended Dynamic Quantile Linear Models

Create an n-th order polynomial exDQLM component

Description

The function creates an n-th order polynomial exDQLM component.

Usage

polytrendMod(order, m0, C0)

Arguments

order	The order of the polynomial model.
m0	Prior mean of the state vector. Default is m0 = rep(0,order).
C0	Prior covariance of the state vector. Default is C0 = 1e3*diag(order).

Value

A list of the following:

• FF - Observational vector.

• GG - Evolution matrix.

• m0 - Prior mean of the state vector.

• C0 - Prior covariance of the state vector.

Examples

# create a second order polynomial component
trend.comp = polytrendMod(2,rep(0,2),10*diag(2))

exdqlm documentation built on Feb. 16, 2023, 7:29 p.m.