Exp_Map_Barycenter_Method {WRI} | R Documentation |
Numerical implementation of the Exponential map
Description
This function implements the Exponential map to calculate \hat{F}_t(u)
for all u
in the cdf/pdf support
Usage
Exp_Map_Barycenter_Method(density.grid, forecast, cdf)
Arguments
density.grid |
The values where the cdf |
forecast |
A vector that contains the WAR(p) model forecast result |
cdf |
The quantile grid used in forecasting |
Value
A numeric vector that contains \hat{F}_t(u)
evaluated over density.grid
References
Wasserstein Autoregressive Models for Density Time Series, Chao Zhang, Piotr Kokoszka, Alexander Petersen, 2022
[Package WRI version 0.2.0 Index]