fn.optim: A wrapper to the optim function.

In GAS: Generalized Autoregressive Score Models

A wrapper to the optim function.

Description

This function is a wrapper to the standard optim optimizer with method = "BFGS".

Usage

 fn.optim(par0, data, GASSpec, FUN)

Arguments

par0	numeric vector of named model coefficients.
data	numeric vector or matrix of data.
GASSpec	An object of the class uGASSpec or mGASSpec, created via the UniGASSpec and MultiGASSpec functions.
FUN	A function to optimize.

Details

The following control parameters are used for control:

• trace = 0

• abstol = 1e-8

See the documentation of optim.

Value

It returns a named list with four elements: i) pars: a numeric vector where the estimated parameters are stored, ii) value: a numeric containing the value of the negative log likelihood evaluated at its minumum, iii) hessian, a numeric matrix containing the Hessian matrix evaluated at the minimum of the negative log likelihood, iv) convergence a numeric element indicating the convergence results of optim.

Author(s)

Leopoldo Catania

See Also

help(optim)

GAS documentation built on Sept. 11, 2024, 8:13 p.m.