You will have to modify your likelihood in such a way that it also
includes the weights. If your likelihood has the following form: l =
sum(log p_i) you could for example add the weights to the likelihood:
lw = sum(w_i * log p_i) (although I am not sure that this is the
correct way to add
Hi All,
I am trying to code an R script which gives me the time varying parameters of
the NIG and GH distributions. Further, becasue I think these these time varying
parameters should be more responsive to more recent observations, I would like
to include a weighted likelihood estimation procee
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