This is a time series\optimization rather than an R question : Suppose I
have an ARMA(1,1) with
restrictions such that the coefficient on the lagged epsilon_term is
related to the coefficient on
The lagged z term as below.
z_t =[A + beta]*z_t-1 + epsilon_t - A*epsilon_t-1
So, if I don't have
-help@stat.math.ethz.ch
Subject: [R] Time series\optimization question not R question
This is a time series\optimization rather than an R question : Suppose I
have an ARMA(1,1) with
restrictions such that the coefficient on the lagged epsilon_term is
related to the coefficient on
The lagged z term
@stat.math.ethz.ch
Subject: Re: [R] Time series\optimization question not R question
Your approach obviously won't give you the same result as when the
likelihood is optimized jointly with A and \beta. However, you can maximize
the likelihood over \beta for different values of A, which would give you