Message-ID: <1324225259498-4211249.post@n4.nabble.com>
Date: 2011-12-18T16:20:59Z
From: Steinar
Subject: Problem with reproducing log likelihood estimated with ghyp package
In-Reply-To: <9E52077A-FF7C-4003-B7E6-1C1353F43C0F@gmail.com>
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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