filterCaller: C++ filter call
In piotrek-orlowski/divergenceModelR: Divergence pricing and divergence-based affine model estimation
Description
This function wraps the ukfClass construction and exposes the call to R. Should not be used directly by the user, rather its exported R interface should be given as an argument to modelLikelihood
Usage
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affineContract_sqrtFilter(dataMat, initState, initProcCov, modelParams)
portfolio_sqrtFilter(dataMat, initState, initProcCov, modelParams)
DSQ_sqrtFilter(dataMat, initState, initProcCov, modelParams)
D_sqrtFilter(dataMat, initState, initProcCov, modelParams)
DS_sqrtFilter(dataMat, initState, initProcCov, modelParams)
Details
portfolio_sqrtFilter works on whatever portfolios you supply
portfolio_sqrtFilter works on whatever portfolios you supply
DSQ_sqrtFilter works on divergence, skewness and quarticity
D_sqrtFilter works on divergence
DS_sqrtFilter works on divergence
piotrek-orlowski/divergenceModelR documentation built on July 21, 2020, 11:51 a.m.
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Description
This function wraps the ukfClass construction and exposes the call to R. Should not be used directly by the user, rather its exported R interface should be given as an argument to modelLikelihood
Usage
1 2 3 4 5 6 7 8 9 | affineContract_sqrtFilter(dataMat, initState, initProcCov, modelParams)
portfolio_sqrtFilter(dataMat, initState, initProcCov, modelParams)
DSQ_sqrtFilter(dataMat, initState, initProcCov, modelParams)
D_sqrtFilter(dataMat, initState, initProcCov, modelParams)
DS_sqrtFilter(dataMat, initState, initProcCov, modelParams)
|
Details
portfolio_sqrtFilter works on whatever portfolios you supply
portfolio_sqrtFilter works on whatever portfolios you supply
DSQ_sqrtFilter works on divergence, skewness and quarticity
D_sqrtFilter works on divergence
DS_sqrtFilter works on divergence
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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