GaussianDensity {MultiATSM} | R Documentation |
computes the density function of a gaussian process
Description
computes the density function of a gaussian process
Usage
GaussianDensity(res, SS, invSS, logabsdetSS)
Arguments
res |
matrix of residuals (N x T) |
SS |
covariance matrice or array of covariance matrices |
invSS |
Inverse of SS (N x N) or (N x N x T) - optional input |
logabsdetSS |
log(abs(|SS|)) (1 x T) - optional input |
Value
y - vector of density (1 x T)
References
This function is based on the "Gaussian" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling).
Available at: https://cepr.org/40029
[Package MultiATSM version 1.1.0 Index]