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gamma_10
2005 Dec 29
0
calculating recursive sequences
...The
loop is necessary, since you need to calculate recursive sequence. Is
there a faster way to do this in R, without using loops?
The model is such:
r_t = \mu + \alpha_2 r_{t-2} + a_t
a_t = \sigma_t\varepsilon_t
\sigma_t^2 =
\beta_1a_{t-1}^2+\beta_2\sigma_{t-1}^2+
1_{\{a_{t-1}>0\}}(\gamma_0+
\gamma_1a_{t-1}^2+\gamma_2\sigma^2_{t-1})
It is asummed that \varepsilon_t are iid and normal with zero mean and
variance one. The data given is r_t, and you have to estimate
variables, \mu, \alpha, \beta and \gamma. Since
\varepsilon_t=\frac{a_t}{\sqrt{sigma_t}}
using the equations we calculate a_t and \s...