by Patrick Burns.
Abstract: This brief note offers an explicit algorithm for a multivariate GARCH model, called PC-GARCH, that requires only univariate GARCH estimation. It is suitable for problems with hundreds or even thousands of variables. PC-GARCH is compared to two other techniques of getting multivariate GARCH using univariate estimates.
jun 25, 26
Programmers think programming is really hard. Non-programmers think it’s even harder than that. Figure 1: The perceived difficulty of programming. Why is programming so arduous? […]
jun 25, 26
Coordinates: 2014 September 15-17 in the London borough of #rstats. 15th, evening I had just the right number of R bugs so that I could walk to the drinks and arrive [...]
jun 25, 26
Navigation gets you from where you are to where you want to be. Speaking of navigation, you can jump to selected sections of this post: Navigation; R-bloggers; Task views; Rdocumentation.org; [...]