Recent content by ARDE

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    Graduate Gamma Poisson Mixture with finite Gamma

    Dear all I am working with a Gamma-Poisson mixture distribution where (and this is not usual) the support of the Gamma distribution (in fact, I am able to restrict to the neg exponential instead of the Gamma...) is finite, e.g. [0,1]. I would like to derive the mean and a Likelihood...
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    Graduate GARCH fitting to binary data / latent data

    Hi viraltux, thanks for the discussion. I attached a simple picture to illustrate my ideas and questions. And no, I don't want to get out from the data the latent health status explicitly (although this is a nice by-product) nor will I make predictions. I want to model the clusters of doctor...
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    Graduate GARCH fitting to binary data / latent data

    Hi viraltux, thanks for your reply! I have a series (or a panel) of N=10.000 patient data and their doctor visits over approx. 10 years. So, for each patient I see e.g. 000001100001110100000001... with a 1 indicating a doctor visit in that week. Many authors model such a series as some 1st...
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    Graduate GARCH fitting to binary data / latent data

    Hi chiro, thanks a lot! But I am afraid none of the r-packages discussed on that web page accept binary (discrete) inputs. ARDE
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    Graduate GARCH fitting to binary data / latent data

    Dear all I am trying to fit a simple ARCH(1)/GARCH(1,1) model to a set of binary data, i.e. I assume a latent GARCH process that is only observed at the values a and b, say (whenever it crosses or hits those thresholds). I found some ideas on fitting a censored GARCH (by SX Wei, for example...