2018, Vol. 3, Issue 5, Part A
Generalized autoregressive score (GAS) functions under Gaussian and student-t distributions
Author(s): Olanrewaju O Rasaki and Folorunsho A Serifat
Abstract: This article described and worked-out the score functions otherwise known as the in information matrixes of Generalized Autoregressive model with time-varying parameters when the error term is assumed to follow Gaussian and student-“t†conditional distributions for location and heavy-tails affected series respectively.
Pages: 56-61 | Views: 1013 | Downloads: 24Download Full Article: Click HereHow to cite this article:
Olanrewaju O Rasaki, Folorunsho A Serifat. Generalized autoregressive score (GAS) functions under Gaussian and student-t distributions. Int J Stat Appl Math 2018;3(5):56-61.
