Content deleted Content added
Danielsltt (talk | contribs) |
Danielsltt (talk | contribs) |
||
Line 137:
and <math display="block">y^2_t = \sigma^2(t/T) + \sigma^2(t/T)(g_t\epsilon^2_t - 1).</math>
Thus we get an estimate value of <math display="block">L_t(\tau;u) = \sum_{t=1}^T K_h(u - t/T)\begin{bmatrix} ln\tau + \frac{y^2_t}{g_t\tau} \end{bmatrix}
with a local likelihood function for <math>y^2_t</math> with known <math>g_t</math> and unknown <math>\sigma^2(t/T)</math>.
| |||