[R] nproc parameter in efpFunctional

Achim Zeileis Achim.Zeileis at uibk.ac.at
Thu Nov 3 10:22:51 CET 2011


On Thu, 3 Nov 2011, bonda wrote:

> Thank you. I've understood, that it should be k (number of parameters)
> separate Brownian bridges.

Well, if you use a process based on OLS residuals, you have always a 
one-dimensional process even though your model has k parameters. Hence, 
the two parameters are really conceptually different..

> Is it possible, to get such separated/disaggregated processes also in
> function efp()? (one can take gefp(..., family=gaussian), or construct by
> myself residuals(lm.model)*X, but still interesting).

Some processes that efp() computes are always 1-dimensional (namely those 
based on residuals) while some are k-dimensional (namely the 
estimates-based processes) and some are (k+1)-dimensional (the score-based 
processes).

gefp() generalizes this concept and lets you construct the fluctuation 
processes fairly flexibly.

> And on the contrary, how can I get an aggregated Brownian bridge path 
> for all parameters together, similar to efp()$process? It is made in 
> plot.gefp, but only for graphical visualization...

For "gefp" objects all aggregation is done by the efpFunctional employed.

But this is really described in a fair amount of detail in the 
accompanying papers. Specifically, for gefp/efpFunctional in the 2006 CSDA 
paper.

> Thank you in advance!
> Julia
>
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