Package: invgamstochvol
Title: Obtains the Log Likelihood for an Inverse Gamma Stochastic
        Volatility Model
Version: 1.0.0
Authors@R: c(person("Leon", "Gonzalez", role = c("aut", "cph"),
                     email = "rlg@grips.ac.jp"),
              person("Blessings", "Majoni", role = c("aut", "cre"),
              email = "bmayjay@gmail.com" , comment =c(ORCID= "0009-0006-1793-1241")))
Maintainer: Blessings Majoni <bmayjay@gmail.com>
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)
        <http://rcea.org/RePEc/pdf/wp23-11.pdf> . 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.
License: MIT + file LICENSE
Imports: Rcpp (>= 1.0.10)
LinkingTo: Rcpp, RcppArmadillo
Depends: R (>= 2.10)
Suggests: knitr, rmarkdown, spelling
LazyData: true
NeedsCompilation: yes
Encoding: UTF-8
VignetteBuilder: knitr, rmarkdown
RoxygenNote: 7.2.3
Language: en-US
Packaged: 2026-10-23 06:48:15 UTC; root
Author: Leon Gonzalez [aut, cph], Blessings Majoni [aut, cre]
        (<https://orcid.org/0009-0006-1793-1241>)
Repository: https://blessingsmajoni.r-universe.dev
Date/Publication: 2023-08-18 10:30:47 UTC
RemoteUrl: https://github.com/cran/invgamstochvol
RemoteRef: HEAD
RemoteSha: 387c7162909d9d41d64e6d68aac6c38de3c29a50