fn.optim: A wrapper to the optim function.
In GAS: Generalized Autoregressive Score Models

Description Usage Arguments Details Value Author(s) See Also

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

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

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.

The following control parameters are used for control:

trace = 0
abstol = 1e-8

See the documentation of optim.

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.

Leopoldo Catania

help(optim)

GAS documentation built on Feb. 4, 2022, 5:12 p.m.