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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...