Good day, Here I was trying to write a code for Garch(1,1) . As garch problem is more or less an optimization problem I also tried to get the algorithm for "nlminb" function. What I saw that if use this function 'nlminb" I can easyly get the estimate of parameters. But any other function is not working. I tried to write my own code for optimization using Quasi-Newton Methods etc but although it is working for ordinary non-linear function, it fails in garch case. Therefore I am trying to get a step by step documentation for nlminb function. I already gone though its help page got a look on "http://netlib.bell-labs.com/cm/cs/cstr/153.pdf>". But it did not solve my problem.
In this regards, can anyone give me any step-by-step approach or theory behind the calculation that 'nlminb" uses? Any help will be highly appreciable. Thanks and regards, ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
