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/

lgarch documentation built on May 29, 2017, 9:08 a.m.

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