Other packages > Find by keyword >

invgamstochvol  

Obtains the Log Likelihood for an Inverse Gamma Stochastic Volatility Model
View on CRAN: Click here


Download and install invgamstochvol package within the R console
Install from CRAN:
install.packages("invgamstochvol")

Install from Github:
library("remotes")
install_github("cran/invgamstochvol")

Install by package version:
library("remotes")
install_version("invgamstochvol", "1.0.0")



Attach the package and use:
library("invgamstochvol")
Maintained by
Blessings Majoni
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2023-08-10
Latest Update: 2023-08-18
Description:
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) . 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.
How to cite:
Blessings Majoni (2023). invgamstochvol: Obtains the Log Likelihood for an Inverse Gamma Stochastic Volatility Model. R package version 1.0.0, https://cran.r-project.org/web/packages/invgamstochvol. Accessed 08 Jul. 2026.
Previous versions and publish date:
0.1.0 (2023-08-10 11:00)
Other packages that cited invgamstochvol R package
View invgamstochvol citation profile
Other R packages that invgamstochvol depends, imports, suggests or enhances
Complete documentation for invgamstochvol
Functions, R codes and Examples using the invgamstochvol R package
Some associated functions: DrawK0 . US_Inf_Data . extra . lik_clo . ourgeo . 
Some associated R codes: RcppExports.R . data.R .  Full invgamstochvol package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

MatchIt  
Nonparametric Preprocessing for Parametric Causal Inference
Selects matched samples of the original treated and control groups with similar covariate distribut ...
Download / Learn more Package Citations See dependency  
rde  
Reproducible Data Embedding
Allows caching of raw data directly in R code. This allows R scripts and R Notebooks to be shared a ...
Download / Learn more Package Citations See dependency  
plantecophys  
Modelling and Analysis of Leaf Gas Exchange Data
Coupled leaf gas exchange model, A-Ci curve simulation and fitting, Ball-Berry stomatal conductance ...
Download / Learn more Package Citations See dependency  
wordcloud2  
Create Word Cloud by 'htmlwidget'
A fast visualization tool for creating wordcloud by using 'wordcloud2.js'. 'wordcloud2.js' is a Java ...
Download / Learn more Package Citations See dependency  
RegressionFactory  
Expander Functions for Generating Full Gradient and Hessian from Single-Slot and Multi-Slot Base Distributions
The expander functions rely on the mathematics developed for the Hessian-definiteness invariance the ...
Download / Learn more Package Citations See dependency  
BcDiag  
Diagnostics Plots for Bicluster Data
Diagnostic tools based on two-way anova and median-polish residual plots for Bicluster output obta ...
Download / Learn more Package Citations See dependency  

27,797

R Packages

236,180

Dependencies

73,674

Author Associations

27,738

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA