ARCH.optimal.rnd: Sample from ARCH optimal kernel

In nickpoison/nltsa: Nonlinear Time Series Analysis

Description

Sample from p(X_k|x_k-1, y_k) for the ARCH model

Usage

  ARCH.optimal.rnd(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

Sample from p(X_k|x_k-1 = xpast, y_k = y)

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