chowlin_likelihood {DisaggregateTS} | R Documentation |
Likelihood function for Chow-Lin or Litterman temporal disaggregation.
Description
This function computes the likelihood function used in temporal disaggregation to find the optimal \rho
parameter.
It is used in conjunction with disaggregate
to estimate the autocorrelation coefficient \rho
.
Usage
chowlin_likelihood(Y, X, vcov)
Arguments
Y |
The low-frequency response series (an |
X |
The aggregated high-frequency indicator series (an |
vcov |
Aggregated variance-covariance matrix for the Chow-Lin or Litterman residuals. |
Value
The log-likelihood value for the given parameters.
[Package DisaggregateTS version 3.0.1 Index]