sigex.midcast: Computes predictors for variables at various indices

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Computes predictors for variables at various indices

Description

Computes predictors for variables at various indices

Usage

sigex.midcast(psi, mdl, data.ts, castspan)

Arguments

psi	A vector of all the real hyper-parameters
mdl	The specified sigex model, a list object
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).
castspan	A non-negative integer horizon giving number of fore- and aft-casts

Value

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

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