levy_recovery: Apply the Levy recovery on data with (fitted)...

In ntwk: Statistical Inference for Network Time Series

Description

Apply the Levy recovery on data with (fitted) adjacency/dynamics matrix.

Usage

levy_recovery(adj, data, times, look_ahead = 1)

Arguments

adj	Adjacency or dynamics matrix.
data	Data to apply the Levy recovery (vector).
times	Observation times (vector).
look_ahead	Step increment.

Value

List with recovered increments, adjacency matrix and cumulative sum.

Examples

n <- 1000
d <- 2
times <- seq(n)
delta_time <- 0.01
noise <- cbind(ghyp::rghyp(n, ghyp::ghyp()), ghyp::rghyp(n, ghyp::ghyp()))
data <- construct_path(
  diag(d),
  noise = noise, y_init = rep(0, d), delta_time = delta_time
)
levy_recovery(adj = diag(d), data = data, times = times)

ntwk documentation built on Sept. 13, 2021, 9:07 a.m.