Is there a package that can do this? And if not would you recommend coding the joint likelihood in R and then use optim()? The MA-part scares me a bit because of computation time.
I am not a C coder so I would like to avoid reading through C code of ARMA regression + Normal innovations (like gls() ) and adapt that to Student T. Thanks a lot for your help, Arthur -- View this message in context: http://r.789695.n4.nabble.com/Regression-with-ARMA-errors-and-Student-T-innovations-tp2998970p2998970.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
