getInnovation {WRI} | R Documentation |
Calculating innovations in WAR(p) models
Description
This function calculates innovations in WAR(p) models
Usage
getInnovation(quantile, quantile.grid, p)
Arguments
quantile |
A matrix containing all the available quantile functions. Columns represent time indices and rows represent evaluation grid. |
quantile.grid |
A numeric vector, the grid over which quantile functions are evaluated. |
p |
A positive integer, the order of the fitted WAR(p) model. |
Value
A list with
innovation - The tangent space innovations evaluated over the quantile grid. Fitting a WAR(p) model for
n
observations will producen-2p
innovations.cov.surf - The covariance surface
References
Wasserstein Autoregressive Models for Density Time Series, Chao Zhang, Piotr Kokoszka, Alexander Petersen, 2022
[Package WRI version 0.2.0 Index]