[转载] Maximum Likelihood Optimization# Economics - 经济
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【 以下文字转载自 Mathematics 讨论区,原文如下 】
发信人: wangmumu (咕噜), 信区: Mathematics
标 题: Maximum Likelihood Optimization
发信站: Unknown Space - 未名空间 (Mon Oct 6 12:28:22 2003) WWW-POST
I need to estimate a time series model using maximum likelihood method. My
model is very similar to GARCH. Is there any package (MatLab) that will allow
me to modify the standard model and do estimation for me? Or I will have to
write my own program to do it? I found out usually people use BHHH method to
do it. Does anybody know
发信人: wangmumu (咕噜), 信区: Mathematics
标 题: Maximum Likelihood Optimization
发信站: Unknown Space - 未名空间 (Mon Oct 6 12:28:22 2003) WWW-POST
I need to estimate a time series model using maximum likelihood method. My
model is very similar to GARCH. Is there any package (MatLab) that will allow
me to modify the standard model and do estimation for me? Or I will have to
write my own program to do it? I found out usually people use BHHH method to
do it. Does anybody know
