fit_to_moments {ffp}R Documentation

Double-Decay Covariance Matrix by Entropy-Pooling

Description

Internal function that computes the flexible probabilities given by double-decay covariance matrix.

Usage

fit_to_moments(X, m, S)

Arguments

X

A matrix of size TxN with relevant the risk drivers.

m

A matrix of size Nx1 given by Double_Decay with risk drivers location.

S

A matrix of size NxN given by Double_Decay with the dispersion matrix of the risk drivers.

Value

A matrix vector with the posterior probabilities.


[Package ffp version 0.2.2 Index]