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beta4
2012 Feb 21
0
BHHH algorithm on duration time models for stock prices
...wing message:
BHHH maximisation
Number of iterations: 0
Return code: 100
Initial value out of range.
I don't know this is so because of the way i have written my loglikelihood or what.
The loglikelihood
LogLik<-function(param){
beta_1<-param[1]
beta_2<-param[2]
beta_3<-param[3]
beta_4<-param[4]
lambda.plus<-beta_1*Iplusless1 + beta_2*Iminusless1
lambda.minus<-beta_3*Iplusless1 + beta_4*Iminusless1
sum(Iplus_new*log(lambda.plus))-sum(log(lambda.plus)*x_new) +
sum(Iminus_new*log(lambda.minus))-sum(log(lambda.minus)*x_new)
}
The gradients
gradient<-function(param){...
2013 Apr 30
0
Ridge regression
...process 100 times and
obtain 100 such vectors which I store as 100 rows in a 100X5 matrix:
matrix[i,]=coef(reg)[best,] (i varying from 1 to 100)
Now my final estimates for the beta's are:
Beta_0=median(matrix[,1])
Beta_1=median(matrix[,2])
Beta_2=median(matrix[,3])
Beta_3=median(matrix[,4])
Beta_4=median(matrix[,5])
I want to find the p-values of each of the estimated beta's.
I am confused how to extract these p values in R (may be we need to go back
to the reg= lm.ridge model corresponding to each final beta estimate, but I
am not sure how to do this through code)
Kindly tell me if a...