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v1_i
2003 May 07
0
assessing goodness of variance prediction
...or ways to assess quality of a predictor of variance of a
random variable. Here a two related, but yet distinct, setups.
1. I observe y_t, t=1,...,T which is normally distributed with unknown
variance v_t (note that the variance is time-dependent). I have two
"predictors" for v_t, dubbed v1_t and v2_t, and I want to tell which
predictor is better. Here better is to be defined, but intuitively it is
thought to be analogous to R^2 of an ordinary regression.
I was thinking along the lines of fitting a GLM of the form log(abs(y)) ~
log(v1) with some link function, but couldn't figure ou...