Multiplicative function: Difference between revisions

Revision as of 15:24, 5 April 2023

Revision as of 04:18, 6 April 2023

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and <math display="block">y^2_t = \sigma^2(t/T) + \sigma^2(t/T)(g_t\epsilon^2_t - 1).</math>

Thus weit getgives 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}</math>

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>.