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