Usage Arguments Details Author(s)
1 | estimateDrift(.formula, .g, .type = "OLS", Intercept = TRUE, regCoef = 0)
|
.formula |
- formula specifying which variables to use for drift; |
.g |
- an fstat structure containing all data. |
.type |
- drift type (OLS, GLS, MEAN) |
.regCoef |
- Regularization coefficient (just like in ridge regression) |
It adds a "drift" slot to the fstat structure (.g) with the following components: Betas - Coefficients assigned to each variable specified by the formula; Design matrix - A design matrix for each variable (useful for UK); Residuals - Functional or scalar residuals;
This code does not implement functional regression (Ramsay and Silverman, 2005), instead it fits one regression for each time step (piece-wise). The actual functional regression will be implemented in future version(s).
for .type=MEAN it just subtracts the mean from the functional data.
Ogy Grujic (ogyg@stanford.edu) and Alessandra Menafoglio (alessandra.menafoglio@polimi.it)
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