View source: R/c_conditional_probabilities.R
c_conditional_probabilities | R Documentation |
c_conditional_probabilities
returns a matrix with the cumulative conditional
probabilities of an ordinal time series
c_conditional_probabilities(series, lag = 1, states)
series |
An OTS. |
lag |
The considered lag (default is 1). |
states |
A numerical vector containing the corresponding states. |
Given an OTS of length T with range \mathcal{S}=\{s_0, s_1, s_2, …, s_n\} (s_0 < s_1 < s_2 < … < s_n), \overline{X}_t=\{\overline{X}_1,…, \overline{X}_T\}, the function computes the matrix \widehat{\boldsymbol F}^c(l) = \big(\widehat{f}^c_{i-1j-1}(l)\big)_{1 ≤ i, j ≤ n}, with \widehat{f}^c_{ij}(l)=\frac{TN_{ij}(l)}{(T-l)N_i}, where N_i is the number of elements less one or equal to s_i in the realization \overline{X}_t and N_{ij}(l) is the number of pairs (\overline{X}_t, \overline{X}_{t-l}) in the realization \overline{X}_t such that \overline{X}_t ≤ s_i and \overline{X}_{t-l} ≤ s_j.
A matrix with the conditional probabilities.
Ángel López-Oriona, José A. Vilar
weiss2019distanceotsfeatures
matrix_ccp <- c_conditional_probabilities(series = AustrianWages$data[[100]], states = 0 : 5) # Computing the matrix of # cumulative conditional probabilities for one series in dataset AustrianWages
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