kcde_sample_predict_given_lagged_lead_obs: Draw a sample from the predictive distribution corresponding...

Description Usage Arguments Value

Description

Draw a sample from the predictive distribution corresponding to an estimated kcde model forward prediction_horizon time steps from the end of predict_data. This function requires that the kernel weights and centers have already been computed.

Usage

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kcde_sample_predict_given_lagged_lead_obs(n, train_lagged_obs, train_lead_obs,
  prediction_lagged_obs, kcde_fit)

Arguments

n

sample size for sample from predictive distribution used in approximating quantiles

train_lagged_obs

is a matrix (with column names) containing the lagged observation vector computed from the training data. Each row corresponds to a time point. Each column is a (lagged) variable.

train_lead_obs

is a vector with length = nrow(train_lagged_obs) with the value of the prediction target variable corresponding to each row in the train_lagged_obs matrix.

prediction_lagged_obs

is a matrix (with column names) containing the lagged observation vector computed from the prediction data. There is only one row, representing one time point. Each column is a (lagged) variable.

kcde_fit

is an object representing a fitted kcde model

Value

a matrix with samples from the predictive distribution


reichlab/kcde documentation built on May 27, 2019, 4:53 a.m.