Displaying 1 result from an estimated 1 matches for "inversegamma".
2012 Feb 10
3
Help needed please
...<- t(u1)%*%u2
s3 <- u3/1204
v1 <- cbind(simtimeseries[1:1020])
v2 <- cbind(simtimeseries[5:1024])
v3 <- t(v1)%*%v2
s4 <- v3/1204
i0 <- c(s0,s1,s2,s3)
i1 <- c(s1,s0,s1,s2)
i2 <- c(s2,s1,s0,s1)
i3 <- c(s3,s2,s1,s0)
gamma <- cbind(i0,i1,i2,i3)
eta <-c(s1,s2,s3,s4)
inversegamma <- solve(gamma)
phihat <- inversegamma%*%eta
phihat
Phihat <- cbind(phihat)
s <- c(s1,s2,s3,s4)
S <- cbind(s)
sigmasquaredyule <- s0 - (t(Phihat)%*%S)
sigmasquaredyule
I did a yule walker estimate on the simulated data and wanted to work out phi hat which is a vector of 4 valu...