clc;
clear;
p=1;
T = 1000;
h=10;
B=1000;
R=1000;
toyo=[];
simulations = 1000;
ftyPI = zeros(h,simulations);
fsigPI = zeros(h,simulations);
Lbyth = zeros(h,simulations);
Lbsigh = zeros(h,simulations);
mccounty = zeros(h,simulations);
mccountsig = zeros(h,simulations);
lb = eps*[1 0]';
a0 = 0.1; a1 = 0.4;
ra = zeros(T+2000,1);
seed = 54321;
rng(seed);
for mc= 1:simulations
mc
ra = trnd(5,T+2000,1);
ra = ra./(sqrt(5/3));
ytn = [];
yt1=zeros(T/5,1);
yt2=zeros(T/5,1);
yt3=zeros(T/5,1);
yt4=zeros(T/5,1);
yt5=zeros(T/5,1);
epsi=zeros(T+2000,1);
simsig=zeros(T+2000,1);
unvar = a0/(1-a1);
for i = 1:T+2000
if (i==1)
simsig(i) = a0+a1*((a0)/(1-a1));
s=(simsig(i))^0.5;
epsi(i) = ra(i) * s;
else
simsig(i) = a0+ a1*(epsi(i-1))^2;
s=(simsig(i))^0.5;
epsi(i) = ra(i)* s;
end
end
yinteta=epsi(2001:T+2000);
epsi2 = epsi.^2;
yt = epsi2(2001:T+2000);
bytlast = yt(T);
tytlast = yt(T);
yint = epsi(2001:T+2000);
ytop = yte(yint,T);
theta0 = 0.5*ones(7,1)';
Av=[0 1 0 0 0 0 0 ];
bv=0.99999;
opts = optimset('Display','off','Algorithm','interior-point');
[theta, opt] = fmincon(@(theta)...
lhnew(theta,ytop),theta0,Av,bv,[],[],lb,[],[],opts);
alpha0 = theta(1);
ar1= theta(2);
cc1 = theta(3);
cc2 = theta(4);
cc3 = theta(5);
cc4 = theta(6);
cc5 = theta(7);
mali = [alpha0 ar1 cc1 cc2 cc3 cc4 cc5];
toyo=[toyo;mali];
end
mean(toyo)
function ytop = yte(yint,T)
yin = yint;
for i=1:T
m = mod(i,5);
if m==0
m=5;
end
if m==1
yin(i)= yin(i)*(2^0.5);
elseif m==5
yin(i)= yin(i)*1;
else
yin(i)= yin(i)*(0.5^0.5);
end
end
ytop=yin;
function L = lhnew(theta,y)
w = theta(1);
alpha = theta(2);
c1 = theta(3);
c2 = theta(4);
c3 = theta(5);
c4 = theta(6);
c5 = theta(7);
y2 = y.^2;
[T1,K] = size(y2);
ht = zeros(T1,1);
ht(1) = sum(y2);
for i=2:T1
m = mod(i-1,5);
if m==0
m=5;
end
if m==1
ht(i)= w + alpha*c1*y2(i-1);
elseif m==2
ht(i)= w + alpha*c2*y2(i-1);
elseif m==3
ht(i)= w + alpha*c3*y2(i-1);
elseif m==4
ht(i)= w + alpha*c4*y2(i-1);
elseif m==5
ht(i)= w + alpha*c5*y2(i-1);
end
end
l=zeros(T1,1);
for i=1:T1
m = mod(i,5);
if m==0
m=5;
end
if m==1
l(i) = -0.5*log(2*pi) - log(sqrt(ht(i)) - 0.5*((c1*y(i)/sqrt(i))^2));
elseif m==2
l(i) = -0.5*log(2*pi) - log(sqrt(ht(i)) - 0.5*((c2*y(i)/sqrt(i))^2));
elseif m==3
l(i) = -0.5*log(2*pi) - log(sqrt(ht(i)) - 0.5*((c3*y(i)/sqrt(i))^2));
elseif m==4
l(i) = -0.5*log(2*pi) - log(sqrt(ht(i)) - 0.5*((c4*y(i)/sqrt(i))^2));
elseif m==5
l(i) = -0.5*log(2*pi) - log(sqrt(ht(i)) - 0.5*((c5*y(i)/sqrt(i))^2));
end
end
l=-l;
L = sum(l);
error:
Error using *
Inner matrix dimensions must agree.
Error in C:\Program Files\Matlab\R2012a\toolbox\optim\optim\private\backsolveSys.p>backsolveSys (line 18)
Error in C:\Program Files\Matlab\R2012a\toolbox\optim\optim\private\solveAugSystem.p>solveAugSystem (line 23)
Error in C:\Program Files\Matlab\R2012a\toolbox\optim\optim\private\leastSquaresLagrangeMults.p>leastSquaresLagrangeMults (line 28)
Error in C:\Program Files\Matlab\R2012a\toolbox\optim\optim\barrier.p>barrier (line 626)
Error in fmincon (line 841)
[X,FVAL,EXITFLAG,OUTPUT,LAMBDA,GRAD,HESSIAN] = barrier(funfcn,X,A,B,Aeq,Beq,l,u,confcn,options.HessFcn, ...
Error in test (line 203)
[theta, opt] = fmincon(@(theta)...
