kfilter

Kalman filter for ARMA copula model

Functions for the analysis of time series using copula models.
The package is based on methodology described in the following references.
McNeil, A.J. (2021) <doi:10.3390/risks9010014>,
Bladt, M., & McNeil, A.J. (2021) <doi:10.1016/j.ecosta.2021.07.004>,
Bladt, M., & McNeil, A.J. (2022) <doi:10.1515/demo-2022-0105>.

Alexander McNeil

tscopula

Time Series Copula Models

Martin Bladt

kfilter function

<dl><dt>x</dt>
<dd>an object of class armacopula.</dd>
<dt>y</dt>
<dd>a vector of data.</dd></dl>

Arguments

Kalman filter for ARMA copula model — kfilter

<dl>

<dt>x</dt>
<dd>an object of class armacopula.</dd>


<dt>y</dt>
<dd>a vector of data.</dd>

</dl>

kfilter: Kalman filter for ARMA copula model

Description

Usage

Value

Arguments

Examples