ajdmom.utils.fZ_dp

ajdmom.utils.fZ_dp(l, o, k, s, J)[source]

Efficiently evaluate the function f_{Z_t}(l, o) using Dynamic Programming. Time Complexity: O(n * N), where n = len(l) and N = len(J).

Parameters:

  • l (tuple) – vector l (corresponding to l_p in the formula)

  • o (tuple) – vector o (corresponding to o_p in the formula)

  • k (float) – model parameter k

  • s (tuple) – sorted jump time points (s_1, s_2, …, s_N)

  • J (tuple) – corresponding jump sizes (J_1, J_2, …, J_N)

Returns:

function value

Return type:

float