FGN (version 2.0-12)

LLPLS: Concentrated Loglikelihood Function for alpha in PLS model

Description

The concentrated loglikelihood, that is, the loglikelihood function maximized over the innovation variance parameter, is computed.

Usage

LLPLS(alpha, z)

Arguments

alpha

decay parameter

z

time series

Value

the value of the loglikelihood

See Also

GetFitPLS

Examples

#compute loglikelihood for NileFlowCMS with 
#  H=0.9 and with alpha=2-2*H=0.2
data(NileFlowCMS)
z<-NileFlowCMS
z<-z-mean(z)
LLFGN(0.9, z)
LLPLS(0.2, z)