model_score: Model Score

In schoi355/gmwm: Generalized Method of Wavelet Moments

Model Score

Description

Calculates the modeling score of a GMWM

Usage

model_score(A, D, omega, v_hat, obj_value)

Arguments

A	A mat that contains the first derivatives of the processes
omega	A mat that contains the omega used when calculating the GMWM
v_hat	A mat that contains the covariance matrix
At_j	A mat that contains the second derivative of each process
diff	A vec that is the difference of the WV empirical and WV theoretical

Details

The equation is slightly different than that stated in the paper due to the bootstrap already incorporating in N.

Value

A vec

schoi355/gmwm documentation built on April 11, 2022, 1:21 a.m.