ll.VARFIMA: Log-likelihood function of a VARFIMA(1,1) in final equations...

In LongMemoryTS: Long Memory Time Series

Description

ll.VARFIMA returns the value of the log-likelihood function for a given sample and parameter vector.

Usage

ll.VARFIMA(theta, data, q, approx = 100, pre.sample = matrix(0, approx,
  q), rep = FALSE)

Arguments

theta	parameter vector.
data	data matrix with T observations of q-dimensional process.
q	dimension of the process.
approx	order of the AR-approximation that is supposed to be used. Default is approx=100.
pre.sample	if likelihood is conditioned on previous observations pre.sample is an additional sample matrix.
rep	determines whether the parameter vector is printed.

References

Lutkepohl, H. (2007): New introduction to multiple time series analysis. Springer.

LongMemoryTS documentation built on May 2, 2019, 5:58 a.m.