Condition the moments for a specific Bernoulli realization at a time t_cond

Condition the moments for a specific Bernoulli realization at a time t_cond

solarMoments_path(moments, GARCH, NM_model, theta = 0, B = 1, t_cond)

Arguments

GARCH

Slot GARCH of a solarModel object.

NM_model

Slot NM_model of a solarModel object.

theta

Numeric, vector of shift parameters for the Gaussian mixture residuals.

B

conditioning value for the Bernoulli state at time thor

t_cond

conditioning date

Details

Version 1.0.0.

Examples

model = solarModel$new(spec)
model$fit()
#> No outliers!
GARCH  = model$GARCH
NM_model = model$NM_model
# Compute the moments
moments <- model$Moments("2012-01-01", "2012-03-05")
#> Error: attempt to apply non-function

# Condition the moments on a realization of B
moments
#> Error: object 'moments' not found
solarOption_model(model, moments)
#> Error: object 'moments' not found

mom_cond <- solarMoments_path(moments, GARCH, NM_model, theta = 0, B = 1, "2012-02-03")
#> Error: object 'moments' not found
solarOption_model(model, mom_cond)
#> Error: object 'mom_cond' not found

mom_cond <- solarMoments_path(moments, GARCH, NM_model, theta = 0, B = 1, "2012-03-01")
#> Error: object 'moments' not found
solarOption_model(model, mom_cond)
#> Error: object 'mom_cond' not found

mom_cond <- solarMoments_path(moments, GARCH, NM_model, theta = 0, B = 1, "2012-03-04")
#> Error: object 'moments' not found
solarOption_model(model, mom_cond)
#> Error: object 'mom_cond' not found

mom_cond <- solarMoments_path(moments, GARCH, NM_model, theta = 0, B = 0, "2012-03-04")
#> Error: object 'moments' not found
solarOption_model(model, mom_cond)
#> Error: object 'mom_cond' not found

mom_cond <- solarMoments_path(moments, GARCH, NM_model, theta = 0, B = c(0, 0), c("2012-03-03", "2012-03-04"))
#> Error: object 'moments' not found
solarOption_model(model, mom_cond)
#> Error: object 'mom_cond' not found

mom_cond <- solarMoments_path(moments, GARCH, NM_model, theta = 0, B = c(1, 1), c("2012-03-03", "2012-03-04"))
#> Error: object 'moments' not found
solarOption_model(model, mom_cond)
#> Error: object 'mom_cond' not found