Fit a Multivariate Random Walk with Drift
Fits a Multivariate Random Walk with Drift to x, a
multivariate time series.
mrwd(x)
x |
numeric matrix with a multivariate time series. Series are arranged in rows with columns representing time. |
For further information on the Multivariate Random Walk with drift see Appendix B in Haberman and Renshaw (2011).
an object of class "mrwd" with components:
drift |
a vector with the estimated drift. |
sigma |
a matrix with the estimated variance covariance matrix. |
fitted |
fitted values. |
residuals |
residuals from the fitted model. That is observed minus fitted values. |
x |
the original time series. |
Haberman, S., & Renshaw, A. (2011). A comparative study of parametric mortality projection models. Insurance: Mathematics and Economics, 48(1), 35-55.
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