fasen_regression: Fasen's multivariate OU least squares regression doi:...
In ntwk: Statistical Inference for Network Time Series
Description
Usage
Arguments
Value
Examples
Description
Fasen's multivariate OU least squares regression
doi: /10.1016/j.jeconom.2012.08.019.
Usage
1
Arguments
data
Multivariate ata to perform the estimation on.
Value
A (d, d) least square matrix.
Examples
1
2
3
4
5
6
n <- 100
d <- 10
delta_time <- 0.01
noise <- matrix(rnorm(n * d), ncol = d)
path <- construct_path(diag(10), noise, d, delta_time)
fasen_regression(path)
ntwk documentation built on Sept. 13, 2021, 9:07 a.m.
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Description Usage Arguments Value Examples
Description
Fasen's multivariate OU least squares regression doi: /10.1016/j.jeconom.2012.08.019.
Usage
1 |
Arguments
data |
Multivariate ata to perform the estimation on. |
Value
A (d, d) least square matrix.
Examples
1 2 3 4 5 6 | n <- 100
d <- 10
delta_time <- 0.01
noise <- matrix(rnorm(n * d), ncol = d)
path <- construct_path(diag(10), noise, d, delta_time)
fasen_regression(path)
|
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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