The efficient Markov chain Monte Carlo estimation of stochastic volatility models with and without leverage (asymmetric and symmetric stochastic volatility models). Further, it computes the logarithm of the likelihood given parameters using particle filters.
Version: 1.1.4 Imports: Rcpp (≥ 1.0.7), freqdom, stats, graphics LinkingTo: Rcpp, RcppArmadillo, RcppProgress Published: 2024-02-15 DOI: 10.32614/CRAN.package.ASV Author: Yasuhiro Omori [aut, cre], Ryuji Hashimoto [ctr] Maintainer: Yasuhiro Omori <omori.yasuhiro at gmail.com> License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] URL: https://sites.google.com/view/omori-stat/english/software/asv-r NeedsCompilation: yes Materials: NEWS CRAN checks: ASV results Documentation: Reference manual: ASV.pdf Downloads: Package source: ASV_1.1.4.tar.gz Windows binaries: r-devel: ASV_1.1.4.zip, r-release: ASV_1.1.4.zip, r-oldrel: ASV_1.1.4.zip macOS binaries: r-release (arm64): ASV_1.1.4.tgz, r-oldrel (arm64): ASV_1.1.4.tgz, r-release (x86_64): ASV_1.1.4.tgz, r-oldrel (x86_64): ASV_1.1.4.tgz Old sources: ASV archive Linking:Please use the canonical form https://CRAN.R-project.org/package=ASV to link to this page.
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