mrwd {StMoMo}

Fit a Multivariate Random Walk with Drift

Description

Fits a Multivariate Random Walk with Drift to x, a multivariate time series.

Usage

mrwd(x)

Arguments

x

numeric matrix with a multivariate time series. Series are arranged in rows with columns representing time.

Details

For further information on the Multivariate Random Walk with drift see Appendix B in Haberman and Renshaw (2011).

Value

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.

References

Haberman, S., & Renshaw, A. (2011). A comparative study of parametric mortality projection models. Insurance: Mathematics and Economics, 48(1), 35-55.