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cff-version: 1.2.0
message: 'To cite package "invgamstochvol" in publications use:'
type: software
license: MIT
title: 'invgamstochvol: Obtains the Log Likelihood for an Inverse Gamma Stochastic
  Volatility Model'
version: 1.0.0
doi: 10.32614/CRAN.package.invgamstochvol
abstract: 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.
authors:
- family-names: Gonzalez
  given-names: Leon
  email: rlg@grips.ac.jp
- family-names: Majoni
  given-names: Blessings
  email: bmayjay@gmail.com
  orcid: https://orcid.org/0009-0006-1793-1241
repository: https://blessingsmajoni.r-universe.dev
commit: 387c7162909d9d41d64e6d68aac6c38de3c29a50
date-released: '2023-08-18'
contact:
- family-names: Majoni
  given-names: Blessings
  email: bmayjay@gmail.com
  orcid: https://orcid.org/0009-0006-1793-1241