How to check global and local maximum?

Discussions of ARCH, GARCH, and related models
yli725
Posts: 4
Joined: Mon Mar 11, 2013 4:39 pm

How to check global and local maximum?

Unread post by yli725 »

Dear Tom,

After I use MLE to estimate the MVGarch model, how can I check the global or local maximum? Thank you very much!
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: How to check global and local maximum?

Unread post by TomDoan »

With any model whose likelihood function isn't known to be globally (quasi-) concave, there is no way to tell for certain if you've found a local or a global maximum. If you're concerned about it, you can use preliminary GENETIC iterations to see if they find a different optimum.
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