GaussianDensity

computes the density function of a gaussian process

internal

Estimation routines for several classes of affine term structure of interest rates models. All the models are based on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015, JFE) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2023, EM) <doi:10.1016/j.econmod.2023.106453>, and Candelon and Moura (Forthcoming, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

GaussianDensity function

<dl><dt>res</dt>
<dd>matrix of residuals (N x T)</dd>
<dt>SS</dt>
<dd>covariance matrice or array of covariance matrices (N x N) or (N x N x T)</dd>
<dt>invSS</dt>
<dd>Inverse of SS (N x N) or (N x N x T) - optional input</dd>
<dt>logabsdetSS</dt>
<dd>log(abs(|SS|)) (1 x T) - optional input</dd></dl>

Arguments

computes the density function of a gaussian process — GaussianDensity

<dl>

<dt>res</dt>
<dd>matrix of residuals (N x T)</dd>


<dt>SS</dt>
<dd>covariance matrice or array of covariance matrices (N x N) or (N x N x T)</dd>


<dt>invSS</dt>
<dd>Inverse of SS (N x N) or (N x N x T) - optional input</dd>


<dt>logabsdetSS</dt>
<dd>log(abs(|SS|)) (1 x T) - optional input</dd>

</dl>

GaussianDensity: computes the density function of a gaussian process

Description

Usage

Value

Arguments

References