least_info_kernel: Least Information Kernel-Smoothing

In ffp: Fully Flexible Probabilities for Stress Testing and Portfolio Construction

Least Information Kernel-Smoothing

Description

This is an internal function that uses the kernel-smoothing approach to compute the posterior probabilities that satisfies some macroeconomic statement.

Usage

least_info_kernel(Y, y, h2)

Arguments

Y	A matrix with the macroeconomic indicators.
y	A numeric scalar with the target to which Y is expected to be near by.
h2	A matrix with the covariance of the Y factor.

Value

A vector with the new probability distribution.

ffp documentation built on Sept. 29, 2022, 5:10 p.m.