kfilter {tscopula}

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)