residuals

This function is very time consuming and by default computes the one-step-ahead residual for the last 100 observations. 
See the function oneStepPredict and the paper in the references for more details.

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

residuals function

<dl><dt>object</dt>
<dd>A <code>stochvolTMB</code> object.</dd>
<dt>conditional</dt>
<dd>Index vector of observations that are fixed during OSA. By default the residuals of the last 100
observations are calculated. If set to <code>NULL</code> it will calculate one-step-ahead residuals for all observations.</dd>
<dt>...</dt>
<dd>Currently not used.</dd></dl>

Arguments

Calculate one-step-ahead (OSA) residuals for stochastic volatility model. — residuals

<dl>

<dt>object</dt>
<dd>A <code>stochvolTMB</code> object.</dd>


<dt>conditional</dt>
<dd>Index vector of observations that are fixed during OSA. By default the residuals of the last 100
observations are calculated. If set to <code>NULL</code> it will calculate one-step-ahead residuals for all observations.</dd>


<dt>...</dt>
<dd>Currently not used.</dd>

</dl>

residuals: Calculate one-step-ahead (OSA) residuals for stochastic volatility model.

Description

Usage

Value

Arguments

References