Posts Tagged ‘ tseries ’

ABC+EL=no D(ata)

May 27, 2012
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ABC+EL=no D(ata)

It took us a loooong while but we finally ended up completing a paper on ABC using empirical likelihood (EL) that was started by me listening to Brunero Liseo’s tutorial in O’Bayes-2011 in Shanghai… Brunero mentioned empirical likelihood as a semi-parametric technique w/o much Bayesian connections and this got me thinking

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garch() uncertainty

May 16, 2012
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garch() uncertainty

As part of an on-going paper with Kerrie Mengersen and Pierre Pudlo, we are using a GARCH(1,1) model as a target. Thus, the model is of the form which is a somehow puzzling object: the latent (variance) part is deterministic and can be reconstructed exactly given the series and the parameters. However, estimation is not

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