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: | 1.1.0 |
| Imports: | Rcpp (≥ 1.0.7), freqdom, stats, graphics |
| LinkingTo: | Rcpp, RcppArmadillo, RcppProgress |
| Published: | 2022-09-02 |
| 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 |
| Reference manual: | ASV.pdf |
| Package source: | ASV_1.1.0.tar.gz |
| Windows binaries: | r-devel: ASV_1.1.0.zip, r-release: ASV_1.1.0.zip, r-oldrel: ASV_1.1.0.zip |
| macOS binaries: | r-release (arm64): ASV_1.1.0.tgz, r-oldrel (arm64): ASV_1.1.0.tgz, r-release (x86_64): ASV_1.1.0.tgz, r-oldrel (x86_64): ASV_1.1.0.tgz |
| Old sources: | ASV archive |
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