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zeta
2011 Nov 27
0
Need Help with my Code for complex GARCH (GJR)
...er than the robust
covariance from Bollerslev/Wooldbridge?
V = H^(-1) G' G H^(-1),
where V denotes the variance-covariance matrix, H stands for the Hessian and
G represents the matrix of contributions to the gradient, the elements of
which are defined as
G_{t,i} = derivative of l_{t} w.r.t. zeta_{i},
where l_{t} is the log likelihood of the t-th observation and zeta_{i} is
the i-th estimated parameter.
Thats a way to compute the robust covariance matrix. But how to I do this i
R??? Only the maxLik-package reports the Hessian-matrix, but not the
gradient.
When using nlminb for optimization...