kDGLM (version 1.2.0)

multi_normal_gamma_pred: update_multi_NG_chol multi_normal_gamma_pred

Description

update_multi_NG_chol multi_normal_gamma_pred

Usage

multi_normal_gamma_pred(
  conj.param,
  outcome = NULL,
  parms = list(),
  pred.cred = 0.95
)

Value

A list containing the following values:

• pred numeric/matrix: the mean of the predictive distribution of a next observation. Same type and shape as the parameter in model.

• var.pred numeric/matrix: the variance of the predictive distribution of a next observation. Same type and shape as the parameter in model.

• icl.pred numeric/matrix: the percentile of 100*((1-pred.cred)/2)

• icu.pred numeric/matrix: the percentile of 100*(1-(1-pred.cred)/2)

• log.like numeric: the The log likelihood for the outcome given the conjugated parameters.

Arguments

conj.param

list or data.frame: The parameters of the conjugated distribution (Normal-Gamma) of the linear predictor.

outcome

numeric or matrix (optional): The observed values at the current time.

parms

list (optional): A list of extra parameters for the model. Not used in this function.

pred.cred

numeric: the desired credibility for the credibility interval.

See Also

Other auxiliary functions for a Normal outcome: convert_multi_NG_Normal(), normal_pred(), update_Normal()