[R] Problem with reproducing log likelihood estimated with ghyp package

Steinar steinar.veka at gmail.com
Sun Dec 18 17:20:59 CET 2011


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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