get_nll

Construct objective function with derivatives using MakeADFun

internal

Parameter estimation for stochastic volatility models using maximum likelihood. The latent log-volatility is
integrated out of the likelihood using the Laplace approximation. The models are fitted via 'TMB' (Template Model
Builder) (Kristensen, Nielsen, Berg, Skaug, and Bell (2016) <doi:10.18637/jss.v070.i05>).

Jens Wahl

stochvolTMB

Likelihood Estimation of Stochastic Volatility Models

get_nll function

<dl><dt>data</dt>
<dd>Vector of observations.</dd>
<dt>model</dt>
<dd>String specifying distribution of error term in observational equation.</dd>
<dt>...</dt>
<dd>Additional arguments passed to MakeADFun.</dd></dl>

Arguments

Construct objective function with derivatives using MakeADFun — get_nll

<dl>

<dt>data</dt>
<dd>Vector of observations.</dd>


<dt>model</dt>
<dd>String specifying distribution of error term in observational equation.</dd>


<dt>...</dt>
<dd>Additional arguments passed to MakeADFun.</dd>

</dl>

get_nll: Construct objective function with derivatives using MakeADFun

Description

Usage

Value

Arguments