Displaying 2 results from an estimated 2 matches for "moedel".
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2012 Jul 12
0
HAR-RV-CJ Moedel
...say half the period i have to compare to ex-post RV.
I should add say I want to loop over T days one day at a time.
I have data for those T days but I need to compare my forecast with the
ex-post realized volatility.
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2001 Sep 17
0
variance of a linear model
Hi,
this question may be off topic:
the unbiased estimator of the variance of the errors in a
linear regression moedel with p coefficients is:
sigma2=sum((y-yi)^2)/(length(y)-p-1)
But what if i estimate transformations of the dependent an
independent variables (e.g. Box-Cox) too? May I calculate
the variance using
sigma2=sum((y-yi)^2)/(length(y)-2*p-1)
or should I use the first formula then?
Thank you,
Tim
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