llk_JLL_Sigma {MultiATSM} | R Documentation |
Build the log-likelihood function of the P-dynamics from the JLL-based models
Description
Build the log-likelihood function of the P-dynamics from the JLL-based models
Usage
llk_JLL_Sigma(VecPara, res, IdxNONzero, K)
Arguments
VecPara |
vector that contains all the non-zero entries of the lower-triangular part of the Cholesky factorization |
res |
residuals from the VAR of the JLL model (K x T) |
IdxNONzero |
vector that contains indexes of the matrix of the non-zero entries of the Cholesky factorization |
K |
dimensions of the variance-covariance matrix (scalar) |
Value
value of the log-likelihood function (scalar)
[Package MultiATSM version 1.3.1 Index]