ARCH.optimal.params: Parameters for ARCH optimal kernel

In nickpoison/nltsa: Nonlinear Time Series Analysis

Description

Compute the mean and standard deviation of p(X_k|x_k-1, y_k) for the ARCH model

Usage

  ARCH.optimal.params(arch, xpast, y)

Arguments

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

Value

List with fields

mean	Mean of the Gaussian kernel
sd	Standard deviation of the Gaussian kernel

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