Package: invgamstochvol 1.0.0

Blessings Majoni

invgamstochvol: Obtains the Log Likelihood for an Inverse Gamma Stochastic Volatility Model

Computes the log likelihood for an inverse gamma stochastic volatility model using a closed form expression of the likelihood. The details of the computation of this closed form expression are given in Gonzalez and Majoni (2023) <http://rcea.org/RePEc/pdf/wp23-11.pdf> . The closed form expression is obtained for a stationary inverse gamma stochastic volatility model by marginalising out the volatility. This allows the user to obtain the maximum likelihood estimator for this non linear non Gaussian state space model. In addition, the user can obtain the estimates of the smoothed volatility using the exact smoothing distributions.

Authors:Leon Gonzalez [aut, cph], Blessings Majoni [aut, cre]

invgamstochvol_1.0.0.tar.gz
invgamstochvol_1.0.0.tar.gz(r-4.5-noble)invgamstochvol_1.0.0.tar.gz(r-4.4-noble)
invgamstochvol_1.0.0.tgz(r-4.4-emscripten)invgamstochvol_1.0.0.tgz(r-4.3-emscripten)
invgamstochvol.pdf |invgamstochvol.html
invgamstochvol/json (API)
NEWS

# Install 'invgamstochvol' in R:
install.packages('invgamstochvol', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Uses libs:
  • c++– GNU Standard C++ Library v3
  • openmp– GCC OpenMP (GOMP) support library
Datasets:
  • US_Inf_Data - Data to use in the invgamstochvol package

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.00 score 2 scripts 171 downloads 3 exports 2 dependencies

Last updated 1 years agofrom:387c716290. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 24 2024
R-4.5-linux-x86_64OKNov 24 2024

Exports:DrawK0lik_cloourgeo

Dependencies:RcppRcppArmadillo

A Tutorial for invgamstochvol package

Rendered frominvgamstochvol.Rmdusingknitr::rmarkdownon Nov 24 2024.

Last update: 2023-08-10
Started: 2023-08-10