model_score: Model Score
In gmwm: Generalized Method of Wavelet Moments
Description
Usage
Arguments
Details
Value
Description
Calculates the modeling score of a GMWM
Usage
1
model_score(A, D, omega, v_hat, obj_value)
Arguments
A
A mat that contains the first derivatives of the processes
omega
A mat that contains the omega used when calculating the GMWM
v_hat
A mat that contains the covariance matrix
At_j
A mat that contains the second derivative of each process
diff
A vec that is the difference of the WV empirical and WV theoretical
Details
The equation is slightly different than that stated in the paper due to the bootstrap already incorporating in
N.
Value
A vec
gmwm documentation built on April 14, 2017, 4:38 p.m.
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Description Usage Arguments Details Value
Description
Calculates the modeling score of a GMWM
Usage
1 | model_score(A, D, omega, v_hat, obj_value)
|
Arguments
A |
A |
omega |
A |
v_hat |
A |
At_j |
A |
diff |
A |
Details
The equation is slightly different than that stated in the paper due to the bootstrap already incorporating in N.
Value
A vec
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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