Proof of a step of a lemma on the asymptotics of maximum likelihood where a Taylor expansion is used
I am trying to understand a proof of quite a long theorem that I report completely for the sake of completeness. This is From Jensen and Rahbek Asymptotic Inference for Nonstationary GARCH (2004). My ...
I've trained a gaussian process which will take X (x1:5) and predict Y (x6). I'm trying to do 1step ahead prediction with Unscented Kalman filter with this GP as my state transition funtion. The ...