Description Usage Arguments Details Value Author(s) References See Also
View source: R/mlgarchObjective.R
mlgarchObjective and mlgarchRecursion1 are auxiliary functions called by mlgarch
. The functions are not intended for the average user.
1 2 | mlgarchObjective(pars, aux)
mlgarchRecursion1(pars, aux)
|
pars |
numeric vector of VARMA parameters |
aux |
auxiliary list |
To understand the structure and content of pars and aux, see the source code of the mlgarch
function
mlgarchObjective returns the log-likelihood of the VARMA representation, whereas mlgarchRecursion1 returns the residuals of the VARMA representation associated with the VARMA parameters pars
Genaro Sucarrat, http://www.sucarrat.net/
Sucarrat, Gronneberg and Escribano (2013), 'Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown', MPRA Paper 49344: http://mpra.ub.uni-muenchen.de/49344/
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