estimate.pred.dens estimates the predictive / conditional density of order p associated with the scalar time series x using np.
1 2 | estimate.pred.dens(x, p, kerntype = "gaussian", bwtype = "fixed",
bwmethod = "cv.ml", bwuse = NA, nmulti = 1)
|
x |
A continuous-valued scalar time series. |
p |
The order of the conditional density. |
kerntype |
The kernel type, one of 'guassian', 'uniform', 'epanechnikov'. |
bwtype |
The bandwidth type, one of 'fixed', 'generalized_nn', 'adaptive_nn'. |
bwmethod |
The method used to choose the bandwidths, one of cv.ml, cv.ls, normal-reference. Defaults to cv.ml to perform LOOCV on the specific entropy rate. |
bwuse |
Specify a fixed bandwidth to use across all lags, or NA to estimate the bandwidths in a data-driven way. |
nmulti |
The number of random initial conditions to use by the optimizer for choosing the bandwidths. |
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