ARCH.optimal.rnd: Sample from ARCH optimal kernel

Description Usage Arguments Value

Description

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

Usage

1
  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.