ARCH.optimal.logpdf: Log-likelihood of ARCH optimal kernel

In nickpoison/nltsa: Nonlinear Time Series Analysis

Description

Evaluate p(X_|x_k-1, y_k) for the ARCH model

Usage

  ARCH.optimal.logpdf(arch, xpast, xnew, y, ...)

Arguments

arch	Instance of the ARCH class
xpast	Value of the state at the former time-step
xnew	Value of the state at the current time-step
y	Observation at the current time-step

Value

Logarithm of the optimal kernel density p(x_k=xnew|x_k-1=xpast, y_k=y)

nickpoison/nltsa documentation built on May 23, 2019, 4:48 p.m.