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e_t
2013 Jun 17
0
Invert a positive definite symmetric Block Toeplitz Matrix
...kelihood of the observations Y_T=(Y_1, ..., Y_T) of an
n-dimensional time-series (Y_t) and second, finding an approximation of
the MLE by using e.g. the BFGS algorithm.
As this algorithm does not function properly (no convergence), I thought
that maybe the inversion of the big covariance matrix EY_T Y_T' may be a
source a trouble.
Thanks for inputs in advance!