Interface ResamplerModel

    • Method Detail

      • fittedValues

        Matrix fittedValues()
      • standarizedInnovations

        Matrix standarizedInnovations()
        Gets the standarized innovations (normalized by the conditional standard deviation at the time) of the time series. Note (haksunli): we should not use instead the non-standarized innovations (have non-unit variances) because when they are scaled by the time dependent standard deviations/variances. We cannot simply shuffle them to get a new time series of innovations.
        Returns:
      • sigma2

        Matrix sigma2()
        Gets the conditional variances of residuals over time.
        Returns: