Displaying 1 result from an estimated 1 matches for "autocavariance".
2010 Jul 02
0
GMM with covariance moment condicion
hello
I have covariance stacionary proces, and i want to estimate some parameter
of this proces via gmm.
My problem is with write "g" -function.
0 order autocovariance is not problem
1 and higher order autocavariance are problem, because add order from 0 mean
that I "loose" one "observacion"
if I have 100 observation and i am going to use mean, variance and first
autocovariance
and fit one parameter !
g<- function(theta,x)
{
m1<-(P1-x)
m2<-(P2-(x-P1)^2)
m3&...