observ_ts {BLModel} | R Documentation |
Function observ_ts computes density of Student t-distribution of views using the formula
f(x) = c_k*(1 +(x-q)^{T}*Σ^{-1}*(x-q)/df)^{(-(df+k)/2)},
where c_k is a normalization constant (depends on the dimension of x and q) and Σ is the dispersion matrix.
observ_ts(x, q, covmat, df = 5)
x |
Data points matrix which collects in rows coordinates of points in which distribution density is computed. |
q |
Vector of investor's views. |
covmat |
Covariance matrix of the distribution; dispersion matrix Σ is computed from |
df |
Number of degrees of freedom of Students t-distribution. |
function returns a vector of observation distribution densities in data points x.
Kotz, S., Nadarajah, S., Multivariate t Distributions and Their Applications. Cambridge University Press, 2004.
k =3 observ_ts (x = matrix(c(rep(0.5,k),rep(0.2,k)),k,2), q = matrix(0,k,1), covmat = diag(k), df=5)