model_score {simts}R Documentation

Model Score

Description

Calculates the modeling score of a GMWM

Usage

model_score(A, D, omega, v_hat, obj_value)

Arguments

A

A mat that contains the first derivatives of the processes

omega

A mat that contains the omega used when calculating the GMWM

v_hat

A mat that contains the covariance matrix

Details

The equation is slightly different than that stated in the paper due to the bootstrap already incorporating in N.

Value

A vec


[Package simts version 0.2.2 Index]