mlgarchObjective {lgarch} | R Documentation |
Auxiliary functions
Description
mlgarchObjective and mlgarchRecursion1 are auxiliary functions called by mlgarch
. The functions are not intended for the average user.
Usage
mlgarchObjective(pars, aux)
mlgarchRecursion1(pars, aux)
Arguments
pars |
numeric vector of VARMA parameters |
aux |
auxiliary list |
Details
To understand the structure and content of pars and aux, see the source code of the mlgarch
function
Value
mlgarchObjective returns the log-likelihood of the VARMA representation, whereas mlgarchRecursion1 returns the residuals of the VARMA representation associated with the VARMA parameters pars
Author(s)
Genaro Sucarrat, https://www.sucarrat.net/
References
G. Sucarrat, S. Gronneberg and A. Escribano (2016), 'Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown', Computational Statistics and Data Analysis 100, pp. 582-594, doi:10.1016/j.csda.2015.12.005