Here is the code for today's MLE case.
Please remember to read the paper before our next session on 10/12:
Measuring and Testing the Impact of News on Volatility, Robert F. Engle and Victor K. Ng, The Journal of Finance, Vol. 48, No. 5 (Dec., 1993) (pp. 1749-1778).
Below is more general Pareto characterization of the left tail of a random variable.
Two of the new parameters come from the affine transformation (shift and scale), while the theta represents the parameter of the Bernoulli mixing variable.
I posted my discussion notes from out case about conditional expectation, including the observation about the connection with OLS regression.
I will use this forum for annoncements, and you are welcome to use it for public feedback. I encourage you to check it often. You may want to add it to your RSS feed.
Welcome back from the break! I am your instructor for the first six weeks of FM5032. I will be in town for our first formal session on Sunday, January 23; but I would like to hold a UMConnect session at 5:30 PM on Wenesday, January 19 to discuss the final and provide a preview for the second half. Our TA will host this session in
MechE018 Physics (Tate) 131 if you would like to attend in person.