orderDist: Summarize marginal distribution of (differenced) series.

In mfasiolo/synlik_release: Synthetic Likelihood methods for intractable likelihoods.

Description

Summarizes (difference) distribution of replicate series, by regressing ordered differenced series on a reference series (which might correspond to observed data).

Usage

  orderDist(x, z, np = 3, diff = 1)

Arguments

x	a matrix. Each column contains a replicate series.
z	vector of lags, for rhs terms.
np	maximum power on rhs of regression.
diff	order of differencing (zero for none).

Value

a matrix where each column contains the coefficients for a different replicate.

Author(s)

Simon N. Wood, maintainer Matteo Fasiolo <[e-mail]>.

Examples

library(synlik)
set.seed(10)
n <- 100;nr <- 3
x <- matrix(runif(n*nr),n,nr)
z <- runif(n)
beta <- orderDist(x,z,np=3,diff=1)

zd <- z;xd <- x[,3]
zd <- diff(zd,1);xd <- diff(xd,1)
zd <- sort(zd);zd <- zd - mean(zd)
xd <- sort(xd);xd <- xd - mean(xd)
lm(xd~zd+I(zd^2)+I(zd^3)-1)

mfasiolo/synlik_release documentation built on May 22, 2019, 7:55 p.m.