# fg nu

 19h comment ARIMA Representation using polynomial long division@B_Miner I have updated my answer. 19h revised ARIMA Representation using polynomial long divisionadded 565 characters in body 1d comment Sufficient and necessary condition for the integrability of a random variableShould follow from the Borel-Cantelli lemma. 1d comment Can normal GARCH innovations outperform student-t GARCH innovations?To my knowledge there are two common cases where the ARCH LM test overrejects - 1. In the case that there is misspecification in the mean equation (Lumsdaine and Ng, JoE, 1999), and 2. In the case that there are additive outliers in the return series. It has been a while since I read this, but it might be able to explain some of your results. 1d comment What are some examples of real-world processes that are well-described by AR, MA, ARMA, or ARIMA?This is given in every textbook on time series. See Chapter 3 in Shumway and Stoffer for cross-disciplinary examples. 1d answered Response variable bounded by dependent variable 1d comment Can normal GARCH innovations outperform student-t GARCH innovations?Also, the t-distribution is characterized by a degrees of freedom parameter that tells you its scale. That is often useful in understanding the deviation from the normal distribution (t($\infty$) = N(0, 1)). 1d comment Can normal GARCH innovations outperform student-t GARCH innovations?For the case of Gold returns compare the ARMA(0, 0)-EGARCH(1, 1) and ARMA(0, 0)-GARCH(1, 1) for t- and Normal distribution. Both are telling you that you have unmodeled GARCH effects, and that you need more lags in your GARCH specification. Other than those effects, the t distribution provides a better fit as discussed above. This seems pretty conclusive to me. 1d comment Cross fitting with same params but differents models@Leon-Alph Don't forget to mark the answer as accepted if it answers your question. 1d revised Multinomial probit in RFormatting changes. 1d answered Cross fitting with same params but differents models 1d comment Cross fitting with same params but differents models@Glen_b $\theta$ is most likely the superset of the parameters of the two models, which would make sense if those are two equations of the same model. 1d answered Linear regression with constrained coefficient 1d comment Can normal GARCH innovations outperform student-t GARCH innovations?I am not familiar with the rugarch package, but are you interpreting this correctly? Based on the log-likelihood (presumably not the negative LL) your t innovations are doing better. What are the estimates of the degrees of freedom parameter? 2d revised ARIMA Representation using polynomial long divisionedited body 2d answered ARIMA Representation using polynomial long division 2d comment Parameter EstimationWhat domain is this? This seems like overly ornate notation for a least squares problem. Dec 8 answered Test a number for narcissism Dec 8 answered Christmas Countdown Dec 8 awarded Supporter