About option VAR=concentrated in DLM
Posted: Mon Apr 20, 2009 1:13 am
My question about this option is as followings:
If I concentrate a variance out of the likelihood function and then do the algorithm, I would get the estimate of this variance from %variance produced by RATS. May I ask if RATS also produces the estimated SD or Asymptotic Variance of this estimate? Because I haven't figured it out myself, I just post my question here.
Thank you very much!
If I concentrate a variance out of the likelihood function and then do the algorithm, I would get the estimate of this variance from %variance produced by RATS. May I ask if RATS also produces the estimated SD or Asymptotic Variance of this estimate? Because I haven't figured it out myself, I just post my question here.
Thank you very much!