Description Usage Arguments Details Value Author(s) See Also
View source: R/logLik.VLSTAR.R
Returns the log-Likelihood of a VLSTAR object.
1 2 |
object |
An object of class ‘ |
type |
Type of Log-Likelihood to be showed (univariate or multivariate). |
... |
further arguments to be passed to and from other methods |
The log-likelihood of a VLSTAR model is defined as:
\log l(y_t|I_t;θ)=-\frac{T\tilde{n}}{2}\ln(2π)-\frac{T}{2}\ln|Ω|-\frac{1}{2}∑_{t=1}^{T}(y_t-\tilde{G}_tB\,z_t)'Ω^{-1}(y_t-\tilde{G}_tB\,z_t)
An object with class attribute logLik
.
Andrea Bucci
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