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

References

Wasserstein Autoregressive Models for Density Time Series, Chao Zhang, Piotr Kokoszka, Alexander Petersen, 2022


[Package WRI version 0.2.0 Index]