amflss.py 文件源码

def additive_decomp(self):
        """
        Return values for the martingale decomposition 
            - ?         : unconditional mean difference in Y
            - H         : coefficient for the (linear) martingale component (kappa_a)
            - g         : coefficient for the stationary component g(x)
            - Y_0       : it should be the function of X_0 (for now set it to 0.0)
        """
        I = np.identity(self.nx)
        A_res = la.solve(I - self.A, I)
        g = self.D @ A_res
        H = self.F + self.D @ A_res @ self.B

        return self.?, H, g