Kastner, Gregor. 2015. Heavy-Tailed Innovations in the R Package stochvol. R Package Vignette.
BibTeX
Abstract
We document how sampling from a conditional Student's t distribution is implemented in stochvol. Moreover, a simple example using EUR/CHF exchange rates illustrates how to use the augmented sampler. We conclude with results and implications.
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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Working/discussion paper, preprint |
| Language | English |
| Title | Heavy-Tailed Innovations in the R Package stochvol |
| Title of whole publication | R Package Vignette |
| Year | 2015 |
| URL | http://cran.r-project.org/web/packages/stochvol/vignettes/heavytails.pdf |
Associations
- People
- Kastner, Gregor (Details)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 1105 Computer software (Details)
- 1162 Statistics (Details)
- 5323 Econometrics (Details)
- 5701 Applied statistics (Details)
- 5707 Time series analysis (Details)