Description Usage Arguments Details Value Author(s) See Also
condMeanVar
is a method which returns the conditional mean and, optionally, the covariance matrix of
X_{t_0+t} given X_{t_0} =
x_{t_0} for N pairs of x_{t_0} and
t.
1 2 3 | ## S4 method for signature 'OUModel'
condMeanVar(object, parameters,
x, t, var = FALSE, ...)
|
object |
An object of class |
parameters |
A |
x |
If
|
t |
If
|
var |
If |
... |
Other arguments. |
If x
and t
are missing, the data and time-distance
between observations from object
are used, and the
conditional means and, optionally, the conditional covariance
matrices of X_{t_2}|X_{t_1} =
x_{t_1} up to X_{t_n}|X_{t_(n-1)} = x_{t_(n-1)} are computed.
If var = FALSE
, the conditional means are returned as columns
in a p x N matrix
.
If var = TRUE
, the conditional means and covariance matrices
are returned in a list with two elements. The first element,
"condMean"
, contains the conditional mean vectors as columns
in a p x N matrix
. The second element,
"condVar"
, contains the conditional covariance matrices in a
p x p x N array
.
Nina Munkholt, nina.m@math.ku.dk
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.