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series2
2011 Dec 17
2
Problem with reproducing log likelihood estimated with ghyp package
..., I summed the log(dt(x,v)) values and it worked with some
simulated series but not all.
Is there any obvious flaws with this script?
library("ghyp")
series_1=rt(10000,4)
#simulating 10000 relation of student t variables with df=4
#Which implies a standrad deviation equal to sqrt(2)
series_2=series_1/sqrt(2)*5
#To get student t distributed variabler with standard
#deviation equal to 5 I rescale the first series
#When i check the first series with the ghyp package, the result coincides
with
#the sum of log likelihood calculated with dt(x, df, ncp, log = FALSE)
fit_1=fit.tuv(series_1...