ourgeo

Computes the 2F1 Hypergeometric Function

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.

Blessings Majoni

invgamstochvol

Obtains the Log Likelihood for an Inverse Gamma Stochastic
Volatility Model

Leon Gonzalez

ourgeo function

<dl><dt>a1</dt>
<dd>Parameter (Real)</dd>
<dt>a2</dt>
<dd>Parameter (Real)</dd>
<dt>b1</dt>
<dd>Parameter (Real)</dd>
<dt>zstar</dt>
<dd>Primary real argument</dd>
<dt>niter</dt>
<dd>The degree of approximation to truncate the hypergeometric sum. The default value is set at 500</dd></dl>

Arguments

Computes the 2F1 Hypergeometric Function — ourgeo

<dl>

<dt>a1</dt>
<dd>Parameter (Real)</dd>


<dt>a2</dt>
<dd>Parameter (Real)</dd>


<dt>b1</dt>
<dd>Parameter (Real)</dd>


<dt>zstar</dt>
<dd>Primary real argument</dd>


<dt>niter</dt>
<dd>The degree of approximation to truncate the hypergeometric sum. The default value is set at 500</dd>

</dl>

ourgeo: Computes the 2F1 Hypergeometric Function

Description

Usage

Value

Arguments

Examples