grad_dcc2: Numerical gradient of the DCC part of the log-likelihood...
In hoanguc3m/ccgarch: Conditional Correlation GARCH models
Description
Usage
Arguments
Value
Note
See Also
Description
This function computes numerical gradient of the second stage log-likelihood function
of the DCC-GARCH model w.r.t. its parameters.
Usage
1
grad.dcc2(param, dvar, d=1e-5)
Arguments
param
a vector of DCC parameters (2 \times 1)
dvar
a matrix of the standardised residuals (T \times N)
d
a step size for computing numerical gradient
Value
a vector of partial derivatives (2 \times 1)
Note
The function is used only from dcc.estimation2 when the switch variable
gradient!=0. dlc$dlc in dlc contains the analytical gradient of
the second stage log-likelihood function.
See Also
hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.
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Description Usage Arguments Value Note See Also
Description
This function computes numerical gradient of the second stage log-likelihood function of the DCC-GARCH model w.r.t. its parameters.
Usage
1 | grad.dcc2(param, dvar, d=1e-5)
|
Arguments
param |
a vector of DCC parameters (2 \times 1) |
dvar |
a matrix of the standardised residuals (T \times N) |
d |
a step size for computing numerical gradient |
Value
a vector of partial derivatives (2 \times 1)
Note
The function is used only from dcc.estimation2 when the switch variable
gradient!=0. dlc$dlc in dlc contains the analytical gradient of
the second stage log-likelihood function.
See Also
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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