Zerilli, Paola (contributor) - 2007
} the data set
13
available and characterize as
x
t−1
≡ {y
t−L
,y
t−L+1
,......,y
t−1
}
the L lagged values of the … is
characterized. The likelihood can therefore be written as
"
n
Y
t=1
p(y
t
|x
t−1
,ξ
1
)
#
Z
p(y,x
0
,ξ
10
)dy
where
p …(y
t
|x
t−1
,ξ
1
)=
p(y
t
,x
t−1
,ξ
1
)
R
p(y,x
t−1
,ξ
1
)dy
and ξ
1
is the parameter vector of this model.
Following …