ACD_Lik: Function for calculation of log likelihood of ACD model
In fACD: Autoregressive Conditional Duration Models in R

This function calculates the conditional duration and resulting log likelihood of ACD models. This function is called by ACD_Fit.

1	ACD_Lik(param, x, qLag, pLag, distrib, typeACD, typeCall = "maxLik")

`param`	parameter vector
`x`	Observed duration series
`qLag`	Maximum lag for alpha parameter
`pLag`	Maximum lag for beta parameter
`distrib`	Distribution assumption
`typeACD`	Type of ACD model
`typeCall`	Type of Call to function

Returns the log likelihood of the model, or filtered series (depending on typeCall).

Marcelo Perlin - ICMA/UK <marceloperlin@gmail.com>

fACD documentation built on May 2, 2019, 6:10 p.m.

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