kfilter: Kalman filter for ARMA copula model
In tscopula: Time Series Copula Models
kfilter R Documentation
Kalman filter for ARMA copula model
Description
Kalman filter for ARMA copula model
Usage
kfilter(x, y)
Arguments
x
an object of class armacopula.
y
a vector of data.
Value
A matrix or multivariate time series with columns consisting of
conditional mean, standard deviation and residuals.
Examples
data <- sim(armacopula(list(ar = c(0.5, 0.4), ma = -0.8)), n = 1000)
kfilter(armacopula(list(ar = c(0.5, 0.4), ma = -0.8)), data)
tscopula documentation built on May 29, 2024, 5:53 a.m.
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| kfilter | R Documentation |
Kalman filter for ARMA copula model
Description
Kalman filter for ARMA copula model
Usage
kfilter(x, y)
Arguments
x |
an object of class armacopula. |
y |
a vector of data. |
Value
A matrix or multivariate time series with columns consisting of conditional mean, standard deviation and residuals.
Examples
data <- sim(armacopula(list(ar = c(0.5, 0.4), ma = -0.8)), n = 1000)
kfilter(armacopula(list(ar = c(0.5, 0.4), ma = -0.8)), data)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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