ll.max: The value of the t-log-likelihood for MARX function

In MARX: Simulation, Estimation, Model Selection and Forecasting for MARX Models

Description

This function allows you to determine the value of the t-log-likelihood for the MARX model.

Usage

ll.max(params, y, x, p_C, p_NC)

Arguments

params	List of parameters.
y	Data vector of time series observations.
x	Matrix of data (every column represents one time series). Specify NULL or "not" if not wanted.
p_C	Number of lags.
p_NC	Number of leads.

Value

neg.loglikelihood

Minus the loglikelihood.

Author(s)

Sean Telg

Examples

data <- sim.marx(c('t',1,1), c('t',1,1),100,0.5,0.4,0.3)
y <- data$y
x <- data$x
p_C <- 1
p_NC <- 1
params <- c(0.5,0.4,0.3,0,1,1)
ll.max(params,y,x,p_C,p_NC)

Example output

         [,1]
[1,] 280.4054

MARX documentation built on May 2, 2019, 3:42 a.m.