Parameter estimation for stochastic volatility models using maximum likelihood. The latent log-volatility is integrated out of the likelihood using the Laplace approximation. The models are fitted via 'TMB' (Template Model Builder) (Kristensen, Nielsen, Berg, Skaug, and Bell (2016) <doi:10.18637/jss.v070.i05>).
Version: 0.3.0 Depends: R (≥ 3.5.0) Imports: TMB, ggplot2, sn, stats, data.table, MASS LinkingTo: RcppEigen, TMB Suggests: testthat (≥ 2.1.0), shiny, knitr, rmarkdown, stochvol Published: 2025-01-31 DOI: 10.32614/CRAN.package.stochvolTMB Author: Jens Wahl [aut, cre] Maintainer: Jens Wahl <jens.c.wahl at gmail.com> BugReports: https://github.com/JensWahl/stochvolTMB/issues License: GPL-3 URL: https://github.com/JensWahl/stochvolTMB NeedsCompilation: yes Materials: README NEWS CRAN checks: stochvolTMB results Documentation: Downloads: Linking:Please use the canonical form https://CRAN.R-project.org/package=stochvolTMB to link to this page.
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