Quotation Kastner, Gregor. 2015. Heavy-Tailed Innovations in the R Package stochvol. R Package Vignette.


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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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Publication's profile

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 (Ă–STAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
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