gonls | R Documentation |
This is the target function for estimating the matrix B by
non-linear least-squares. It is used in the estimation method
goest
if method = "nls"
is chosen.
gonls(params, SSI)
params |
The initial values of the vech(B). |
SSI |
A list with two elements, each a list itself, containing S_t = s_t s_t' - I_m and S_{t-1} = s_{t-1} s_{t-1}' - I_m, respectively. |
Boswijk and van der Weiden (2006) proposed the following criterion function:
S(A) = \frac{1}{n} ∑_{t = 1}^n tr([s_t s_t' - I_m - B(s_{t-1} s_{t-1}' - I_m)B]^2) = S^*(B)
for retrieving the matrix U. This matrix is the eigen vector matrix of B. The linear map Z = P Δ^{1/2} U and its inverse can then be computed for calculating the component matrix Y = X Z^{-1}.
f |
|
Bernhard Pfaff
Boswijk, H. Peter and van der Weide, Roy (2006), Wake me up before you GO-GARCH, Tinbergen Institute Discussion Paper, TI 2006-079/4, University of Amsterdam and Tinbergen Institute.
gogarch
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