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