Displaying 1 result from an estimated 1 matches for "ibmln99".
2005 Dec 29
0
calculating recursive sequences
...ot;Nelder-Mead" and "BFGS",
Initial parameter values from the book are
0.03 -0.03 0.10 0.60 0.10 0.05 0.10
The fitted values from the book are
0.043 -0.022 0.098 0.954 0.060 -0.052 -0.069.
The link to the data used:
http://www.gsb.uchicago.edu/fac/ruey.tsay/teaching/fts/d-ibmln99.dat
For this problem recursive sequence is linear, so it is possible to
calculate it as a linear equations solution, but it is easy to think
of the case where the recursion is non-linear. Is the speed-up
possible only by writing C or Fortran code with loops?
Vaidotas Zemlys
--
Doctorate student,...