Exercise 9.5 Consider the model in Example 9.2.2. Suppose that at some point the minimization algorithm is
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Exercise 9.5 Consider the model in Example 9.2.2. Suppose that at some point the minimization algorithm is trapped in a local minimum giving Q = 0, which is like starting the minimization with Q = 0. In that case, show that you estimate R by the sample variance of the observations and α
1−φ is estimated by the mean of the observations.
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Statistical Methods For Financial Engineering
ISBN: 9781032477497
1st Edition
Authors: Bruno Remillard
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