muVec: Mean vector function for limit process

In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

Description

This function evaluates the mean vector function for the limit process derived in Kustosz, Leucht and Mueller (2016). It is just useful in the internal calculations of the Limit simulation.

Usage

muVec(t, y)

Arguments

t	Grid vector to define set, where the process has to be evaluated later on.
y	Value of second marginal process, which defines the full mean function after a simulation.

Details

The theoretical details can be found in Kustosz, Leucht and Mueller (2016). Details on the implementation can be found in Kustosz (2016).

Value

Returns a vector with the dimensions of the grid, which defines the conditional mean function, when the second marginal process is already known.

Author(s)

Kustosz, Christoph

References

Kustosz C., Leucht A. and Mueller Ch. H. (2016). Tests based on simplicial depth for AR(1) models with explosion. Journal of Time Series Analysis. In press.

Kustosz, C. (2016). Depth based estimators and tests for autoregressive processes with application. Ph. D. thesis. TU Dortmund.

See Also

simulateGP, sigmaMat

Examples

g <- seq(-2, 2, 0.5)
y <- 0.25
muVec(g, y)

ChrisKust/rexpar documentation built on May 6, 2019, 11:48 a.m.