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 \hat{F} is evaluated

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]