Compute DCC Standard Errors with Robust Edge Case Handling — compute_dcc_standard_errors_robust • tsbs

High-level wrapper with handling for boundary estimates, constant correlation, and non-positive-definite Hessians.

Usage

compute_dcc_standard_errors_robust(
  dcc_result,
  std_resid,
  weights,
  Qbar,
  distribution = "mvn",
  boundary_threshold = 1e-04,
  method = c("hessian", "sandwich")
)

Arguments

dcc_result: Result from estimate_dcc_parameters_weighted() or similar
std_resid: T x k matrix of standardized residuals
weights: T-vector of observation weights
Qbar: k x k unconditional correlation matrix
distribution: "mvn" or "mvt"
boundary_threshold: Threshold for boundary detection (default 1e-4)
method: "hessian" or "sandwich"

Value

List with:

se: se
vcov: vcov
valid: valid
reason: reason
correlation_type: correlation_type
info: info
info_eigenvalues: info_eigenvalues