make_time_basis: Make time basis matrix

In gbstat/tailqr: 'Fit Mixture of Quantile Regression and GPDs'

Description

makes a matrix of polynomial (in date) and natural spline (in day of year) basis functions + interaction terms for set of dates. Dates are scaled to be between (0,1) before defining splines.

Usage

make_time_basis(dates, df.lf, df.hf, b.formula = ~b.lf + b.hf + b.lf:b.hf)

Arguments

dates	vector of dates of each observation
df.lf	natural spline degrees of freedom on date
df.hf	periodic basis spline degrees of freedom on the day of the year
b.formula	formula for natural spline basis and periodic basis splines. Must be written in terms of b.lf and b.hf

Value

matrix of basis functions with all linear and interaction terms evaluated at every date passed to function.

gbstat/tailqr documentation built on May 8, 2019, 5:42 p.m.