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: 2023-08-18 06:56:39 UTC; bmayj
Author: Leon Gonzalez [aut, cph],
  Blessings Majoni [aut, cre] (<https://orcid.org/0009-0006-1793-1241>)
Repository: CRAN
Date/Publication: 2023-08-18 08:32:42 UTC
Built: R 4.6.0; aarch64-apple-darwin23; 2026-04-25 19:44:38 UTC; unix
Archs: invgamstochvol.so.dSYM
