ll.VARFIMA {LongMemoryTS}

Log-likelihood function of a VARFIMA(1,1) in final equations form.

Description

ll.VARFIMA returns the value of the log-likelihood function for a given sample and parameter vector.

Usage

ll.VARFIMA(theta, data, q, approx = 100, pre.sample = matrix(0, approx,
  q), rep = FALSE)

Arguments

theta

parameter vector.

data

data matrix with T observations of q-dimensional process.

q

dimension of the process.

approx

order of the AR-approximation that is supposed to be used. Default is approx=100.

pre.sample

if likelihood is conditioned on previous observations pre.sample is an additional sample matrix.

rep

determines whether the parameter vector is printed.

References

Lutkepohl, H. (2007): New introduction to multiple time series analysis. Springer.