c_marginal_probabilities function

Computes the cumulative marginal probabilities of an ordinal time series

c_marginal_probabilities returns a vector with the cumulative marginal probabilities of an ordinal time series UTF-8

c_marginal_probabilities(series, states)

Arguments

• series: An OTS (numerical vector with integers).
• states: A numerical vector containing the corresponding states.

Returns

A vector with the cumulative marginal probabilities.

Details

Given an OTS of length $T$ with range $\mathcal{S}=\{s_0, s_1, s_2, \ldots, s_n\}$ ($s_0 < s_1 < s_2 < \ldots < s_n$), $\overline{X}_t=\{\overline{X}_1,\ldots, \overline{X}_T\}$, the function computes the vector $\widehat{\boldsymbol f} =(\widehat{f}_0, \ldots, \widehat{f}_n)$, with $\widehat{f}_i=\frac{N_i}{T}$, where $N_i$ is the number of elements less than or equal to $s_i$ in the realization $\overline{X}_t$.

Examples

vector_cmp <- c_marginal_probabilities(series = AustrianWages$data[[100]],
states = 0 : 5) # Computing the vector of
# cumulative marginal probabilities for one series in dataset AustrianWages

References

Rdpack::insert_ref(key="weiss2019distance",package="otsfeatures")

Author(s)

Ángel López-Oriona, José A. Vilar