Displaying 2 results from an estimated 2 matches for "varepsilon_t".
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2005 Dec 29
0
calculating recursive sequences
...by Ruey S. Tsay, and I
was succesfull, but I had to use "for" loop, which is quite slow. 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 \gam...
2009 Apr 15
2
HTML help
Hi,guys,
HTML help is not right for math formula:
For example:
I got the following formula in help page of ca.jo in urca package:
<p align="center"><i><B>X</B>_t = <B>Pi</B>_1 <B>X</B>_{t-1} + ... + <B>Pi</B>_k
<B>X</B>_{t-k} + <B>μ</B> + <B>Phi D</B>_t +