Description Usage Arguments Value References See Also Examples
Estimate regression operator P (matrix d \times d) in model
Y_t = P X_t + \varepsilon_t,
where X_t is a d-dimensional stationary process and \varepsilon_t forms a white noise.
1 |
X |
regressors process |
Y |
response process |
K |
how many directions should be inverted (as in |
Kconst |
constant for heuristic (as in |
Estimated regression operator
Siegfried Hormann and Lukasz Kidzinski A note on estimation in Hilbertian linear models Research report, 2012
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