logit

Logit transformation from the real line to (-1, 1).

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

logit function

<dl><dt>x</dt>
<dd>double</dd></dl>

Arguments

Logit transformation from the real line to (-1, 1). — logit

<dl>

<dt>x</dt>
<dd>double</dd>

</dl>

logit: Logit transformation from the real line to (-1, 1).

Description

Usage

Value

Arguments