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Problem with reproducing log likelihood estimated with ghyp package

Steinar 
Thank you very much for your answer.

I did not think about the scale influencing the log likelihood score. The
first simulation was zero mean student t distributed variables with
variance=v/(v-2). And as far as I can understand, that is exactly what
dt(x,v) assumes. This also gave me the same result as the ghyp package. 
Scaling the variance to get t distributed variables with variance=5^2 gave a
totally different likelihood score for the reason you mentioned. 



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Thread (3 messages)

Steinar Problem with reproducing log likelihood estimated with ghyp package Dec 17 Peter Dalgaard Problem with reproducing log likelihood estimated with ghyp package Dec 18 Steinar Problem with reproducing log likelihood estimated with ghyp package Dec 18