InterExtrapolate: Interpolate and extrapolate using n-linear interpolation...

Description Usage Arguments Value Note Author(s) References

Description

Interpolate and extrapolate using n-linear interpolation (tensor product linear).

Usage

1
  InterExtrapolate(V, Xi, nodelist = NULL, method = NULL)

Arguments

V

[array] p-dimensional array to be interpolated/extrapolated at the list of points in the array Xi.

Xi

[array] (n x p) array of n points to interpolate/extrapolate. Each point is one row of the array Xi.

nodelist

[cell array] (optional) cell array of nodes in each dimension.

method

[string] (optional) chacter string, denotes the interpolation method used. default method = 'linear'

Value

Vpred [array] (n x 1) array of interpolated/extrapolated values

Note

Initially written by John D'Errico.

Extrapolating long distances outside the support of V is rarely advisable.

Author(s)

Xavier Valls flamejat@gmail.com

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.

See Meucci's script for "InterExtrapolate.R"


R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.