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vasiliy
2009 Apr 06
2
GarchOxFit output
Dear Sirs,
I have a problem with the garchOxFit output. I want to display only
the value of max.like.est and the information criteria. How can I do
that; I enclose a part of GarchOxFit output, which is what I want to
display.
Best regards,
Vasilios Ismyrlis
GarchOxFit output
No. Observations : 1000 No. Parameters : 2
Mean (Y) : -0.05511 Variance (Y) : 1.06869
Skewness (Y) : -0.01496 Kurtosis (Y) : 3.49490
Log Likelihood : -1453.572 Alpha[1]+Beta[1]: -0.00021
Information Criterium (to be minimize...
2012 Dec 12
3
R-2.15.2 changes in computation speed. Numerical precision?
...dependent columns. However, it does tolerate columns of all zeros,
which seems to be the problem case in the particular application I am
testing.
I tried very hard to get the newer algorithm described here to go as
fast, but it is way way slower, at least in the implementations I
tried:
## KPP
## Vasilios N. Katsikis, Dimitrios Pappas, Athanassios Petralias. "An
improved method for
## the computation of the Moore Penrose inverse matrix," Applied
## Mathematics and Computation, 2011
The notes on that are in the qrginv.R file linked above.
The fact that I can't make that newer KPP al...