summary.stochvolTMB_predict

Calculate quantiles based on predictions from the predictive distribution

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

summary.stochvolTMB_predict function

<dl><dt>object</dt>
<dd>A <code>stochvolTMB_summary</code> object.</dd>
<dt>...</dt>
<dd>Not used.</dd>
<dt>quantiles</dt>
<dd>A numeric vector specifying which quantiles to calculate.</dd>
<dt>predict_mean</dt>
<dd>bool. Should the mean be predicted?</dd></dl>

Arguments

Calculate quantiles based on predictions from the predictive distribution — summary.stochvolTMB_predict

<dl>

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


<dt>...</dt>
<dd>Not used.</dd>


<dt>quantiles</dt>
<dd>A numeric vector specifying which quantiles to calculate.</dd>


<dt>predict_mean</dt>
<dd>bool. Should the mean be predicted?</dd>

</dl>

summary.stochvolTMB_predict: Calculate quantiles based on predictions from the predictive distribution

Description

Usage

Value

Arguments