sigex.castextract: Formats cast estimates with two standard errors

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Formats cast estimates with two standard errors

Description

Background: psi refers to a vector of real numbers containing all hyper-parameters (i.e., reals mapped bijectively to the parameter manifold)

Usage

sigex.castextract(data.ts, data.casts, mdl, castspan, param)

Arguments

data.ts	A T x N matrix ts object; any values to be imputed must be encoded with NA in that entry. The NA is for missing value, or an enforced imputation (e.g. extreme-value adjustment).
data.casts	A list containing casts.x and casts.var casts.x N x H matrix of forecasts, midcasts, aftcasts, where H is the total number of time indices with missing values, given by cardinality( leads setminus 1,2,...,T ) casts.var NH x NH matrix of covariances of casting errors. note that casts.var.array <- array(casts.var,c(N,H,N,H)) corresponds to cast.var.array[,j,,k] equal to the covariance between the jth and kth casting errors
mdl	The specified sigex model, a list object
castspan	A non-negative integer horizon giving number of fore- and aft-casts
param	Must have form specified by mdl

Value

list object extract.casts with cast, upp, and low cast: T x N matrix of the data or casts upp: as cast, plus twice the standard error low: as cast, minus twice the standard error

jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.