NEWS.md

In stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models

stochvol 3.2.3

• Minor changes and fixes in the documentation
• Bugfix in the indexing of svsample_roll() for expanding window estimation. Thanks to Weixian Nie.

stochvol 3.2.2

• Bugfix in the validation of the inverted gamma prior for sigma^2. Thanks to A. Slavik.

stochvol 3.2.1

• Minor adaptions to NEWS.md to comply with NEWS extractor 'tools:::.build_news_db_from_package_NEWS_md'
• Export further C++ functions 'cholesky_tridiagonal', 'forward_algorithm', 'backward_algorithm', 'inverse_transform_sampling', 'find_mixture_indicator_cdf'
• Bugfix in 'print.svsim'

stochvol 3.2.0

• Include reference to the JSS paper
• Bugfix: initial value for 'mu' was incorrect when 'mu' was set to constant a priori
• Typo corrections in the documentation

stochvol 3.1.0

• NEW FUNCTION 'svlm', which has a formula interface; it is a wrapper around 'svsample'; many thanks to Peter Knaus for his help
• Turn on printing on Windows
• Implement Geweke test in C++; it is feasible to execute it as a CRAN test now
• Small change in the behavior of 'predict.svdraws': when 'newdata' is given then 'steps' is ignored; A warning is shown if this is relevant
• Updated examples for 'svsample' and 'predict' so that they use the extractors as intended
• Simplified vignette: cache some results to reduce dependencies
• Bugfix in adaptation that does not affect correctness

stochvol 3.0.6

• Correct wrongly submitted vignettes

stochvol 3.0.5

• Re-added first vignette with the necessary updates
• Bugfix in 'residuals.svdraws' and 'plot.svresid'; thanks to David Zoltan Szabo

stochvol 3.0.4

• Updated vignette
• Prevent some compilation warnings
• Updated CITATION file

stochvol 3.0.3

• Bugfix in 'svsample' when the input data contains 0s

stochvol 3.0.2

• Bugfix in the fast access functions 'svsample_fast_cpp' and 'svsample_general_cpp': dimensions were incorrect
• Bring out the adaptation object for 'svsample_general_cpp' to the R level; used to be accessible from C++ only
• Update to the adaptation object in C++

stochvol 3.0.1

• Bugfix for calls to 'svsample' with draws = 1
• Fix some #include directives
• Avoid compilation problems on Solaris

stochvol 3.0.0

• New model: heavy-tailed SV with leverage and its sampling function 'svtlsample'
• Change in the heavy-tailed models: now they operate with a normalized Student's t-distribution, i.e.\ its standard deviation is 1 for all degrees of freedom
• New, optional API for specifying prior distributions
• It is possible to set any or all of 'mu', 'phi', 'sigma', 'nu', 'rho' to a constant value, i.e.\ set a Dirac prior
• Replaced the prior distribution for the degrees of freedom parameter 'nu' with an exponential distribution; it used to be a uniform distribution
• New set of unit tests including a Geweke test
• Entirely refactored C++ backend
• New, rethought set of exported C++ functions: 'update_fast_sv', 'update_general_sv', 'update_regression', and 'update_t_error'; all of them are documented
• Vastly improved the computational efficiency of the former 'svlsample' code
• New feature: run independent MCMC chains on the same data set
• Integration of the 'parallel' package: option to run independent MCMC chains on a 'SNOW' cluster or using the 'multicore' strategy
• Modified backend for 'svdraws' and 'svpredict' objects to to incorporate independent chains: they contain 'mcmc.list' objects instead of plain 'mcmc' objects. WARNING! This may break code that exploited the backend!
• Additional extractor functions for 'svdraws' objects: 'vola', 'sv_beta', 'sv_tau', 'sampled_parameters', index chains via [], 'as.array'
• New extractors for 'svpredict' objects: 'predy', 'predlatent', 'predvola', index chains via []
• CITATION file updated
• New vignette
• SV with leverage also includes 'latent0' from now on
• New feature: rolling window estimation via the functions 'svsample_roll', 'svtsample_roll', 'svlsample_roll', and 'svtlsample_roll'
• Unified plotting between models: removed the 'scaling' plot from heavy-tailed model outputs
• Many new, small examples
• Small bugfixes
• New "fast-access" functions to circumvent input validation: 'svsample_fast_cpp' and 'svsample_general_cpp'; their arguments are slightly different from the 'svsample' family of functions, they come with documentation
• 'svsample2' is set to deprecated

stochvol 2.0.5

• Bugfix in predict when a constant mean model is used for prediction
• Test suite added
• Updated CITATION file

stochvol 2.0.4

• Bugfix in 'svlpredict' when an inverse gamma prior is used.
• Function 'svtpredict' introduced for convenience when estimating SV with heavy tails.
• New generic: logret; old logret function is now logret.default (this change shouldn't bother the end user).
• New generic: paratraceplot; old paratraceplot function is now paratraceplot.svdraws (this change shouldn't bother the end user).

stochvol 2.0.3

• The exported C++ function 'update_svl' can draw posterior values with a fixed 'mu'.
• Controlling the amount of latent variable draws to be stored can now be controlled through the 'keeptime' argument to 'svsample', 'svsample2', 'svlsample', and 'svlsample2'.

stochvol 2.0.2

• Bugfix in 'predict.svdraws'

stochvol 2.0.1

• Introduced a minimalistic 'plot.svpredict' / 'plot.svlpredict'
• More fine-grained control over the covariance matrix in 'svlsample', the default employs an approximate covariance matrix coming from 'svsample'
• Bugfix in 'predict.svdraws' and minor changes in documentation thereof

stochvol 2.0.0

• New collaborator: Darjus Hosszejni
• New functionality:
• leverage effect through 'svlsample'
• simulation of asymmetric returns with 'svsim'
• prediction using designmatrices and heavy-tails
• Updated functionality:
• the exported C++ function 'update' uses RcppArmadillo objects and it has been renamed to 'update_sv'
• new examples
• Bugfix:
• correct plotting after sampling with 'gammaprior = FALSE'
• fixed naming of latent states in printing and plotting in the case of time series with conditionally heavy-tailed innovations
• in 'svsample': input check for length of burnin is now fixed (thanks to Nikolas Kuschnig)
• other small fixes
• Deprecated:
• functions 'arpredict' and '.svsample'
• parameter 'thintime' in function 'svsample'

stochvol 1.3.4

• DESCRIPTION file updated.

stochvol 1.3.3

• Registered native routines.
• Thinned graphs in vignette a bit to stay below the required 5MB mark.
• Workaround for typo appearing in conversion of help files to LaTeX document. Thanks to Evelyn Mitchell for pointing this out.

stochvol 1.3.2

• Some more changes in the AWOL sampler because version 1.3.1 appeared to be unstable under Solaris: Sampling of h (including h0) is now done AWOL.
• Turned progress indicator off again (not sure whether this causes issues with Solaris).

stochvol 1.3.1

• Parameter starting values are now set to their respective prior means (if not specified by the user).
• Sampling h[-0] is now done conditionally on h0. This change should not make a difference for the standard use cases of stochvol but is necessary to yield correct results for the new prior for h0 which was introduced in version 1.3.0.
• Turned on progress indicator also for Windows (need %% instead of \045 or \% to escape a percent symbol in Rprintf).

stochvol 1.3.0

• Implemented new prior for initial log-volatility h0. Can be used to stabilize the level of the volatilities, especially when stochvol is used within the context of a more general MCMC algorithm.
• Shortened the heavytails-vignette (a bit) to stay below the 5MB mark.
• Fixed error in help files of svsample and svsample2 concerning startpara. Thanks to Dominic Cervicek for pointing this out.

stochvol 1.2.4

• Fixed typo which appeared in pdf package documentation. Thanks to Stefan Voigt for pointing this out.

stochvol 1.2.3

• Updated CITATION to cater for newly published article in the Journal of Statistical Software 69(5), 1-30, doi: 10.18637/jss.v069.i05.
• The function logret can now handle xts objects. Thanks to Niko Hauzenberger for pointing this out.

stochvol 1.2.2

• Fixed bug in initialization of svsample2 that was introduced in 1.2.1. Thanks to John Kerpel for pointing this out.

stochvol 1.2.1

• Added option 'keeptau' to the store the "variance inflation factors" used for the sampler with conditional t innovations. Thanks to Sergey Egiev for pointing out that this may be useful to at what point(s) in time the normal disturbance had to be "upscaled" by a mixture factor and when the series behaved "normally".
• Fixed residuals.svdraws to cater for a potential 'designmatrix'.

stochvol 1.2.0

• Allows for incorporation of a simple mean (regression-type) model. For details, please see ?svsample and ?arpredict. And, hopefully soon, the corresponding vignette.
• Improved input-checking (somewhat).
• Argument 'thintime' in svsample may now also be 'firstlast', meaning that latent volatility draws are only kept for the first and the last point in time.

stochvol 1.1.4

• Included non-base default packages that are imported in NAMESPACE into DESCRIPTION. Thanks to Kurt Hornik for pointing this out.

stochvol 1.1.3

• Fixed a typo in Makefile for building vignettes.

stochvol 1.1.2

• Fixed missing imports from non-base default packages.

stochvol 1.1.1

• Fixed "uninitialized variable" in function newtonRaphson (progutils.cpp). Warning appeared when building for Windows.
• Minor changes in main vignette (article.Rnw) so that the included plots have smaller file size and the package does not exceed the 5MB limit (was the case on r-patched-solaris-sparc).

stochvol 1.1.0

• Introduced sampling and simulating conditional t-innvoations. (Hopefully) all affected functions
• svsample
• svsample2
• volplot
• paratraceplot
• paradensplot
• plot.svdraws
• plot.svresid
• svsim
• updatesummary
• predict.svdraws
• residuals.svdraws
• print.svsim
• print.summary.svsim
• print.summary.svdraws and the corresponding help files have been adapted. See package vignette "heavytails" for details. Still a "beta-feature", please use with care. Bug reports and/or comments are warmly welcome!
• The plot functions now take an optional svsim object.
• predict.svdraws is now in R/utilities_svdraws.R (was in R/plotting.R)

stochvol 1.0.2

• Fixed some more typos.
• Plotting functions are now in R/plotting.R

stochvol 1.0.1

• Updated keywords in vignette.
• Changed VignetteKeyword entries to adhere to CRAN style guide.

stochvol 1.0.0

• First stable release.
• Minor stylistic changes in package vignette.
• Updated CITATION file.
• Version numbering changed from X.Y-Z to X.Y.Z.

stochvol 0.9-2

• Fixed some typographical errors in help files. Thanks to Angela Bitto for pointing these out.

stochvol 0.9-1

• Fixed typographical errors in vignette.
• Added additional results in Table 1 of vignette.
• Minor changes in DESCRIPTION to adhere to CRAN style guide.

stochvol 0.9-0

• Requires now Rcpp >= 0.11.0 and consequently R >= 3.0.0.
• Replaced RNGScope in sampler.cpp by "manual" GetRNGstate() and PutRNGstate() statements because the former is not safe if return variables are declared afterwards, cf. https://www.mail-archive.com/[e-mail]/msg07519.html and follow-ups for further information.
• Minimal overhead sampling function .svsample was renamed to svsample2. The former name will be faded out; please use svsample2 from now on.
• Substantial rewrite of vignette, especially Section 5; includes now a comparison of SV and GARCH.
• Updates and corrections in .Rd files.
• Added some info when package is attached.
• Sample size is now denoted as "n" instead of "T", in order to avoid confusion with "TRUE" and/or the transpose symbol.

stochvol 0.8-4

• Fixed a bug introduced in version 0.8-2, where I forgot to let .svsample know about the changes in update(...). Thanks to Keiran Thompson for pointing this out.
• Updated CITATION file.

stochvol 0.8-3

• Minor changes in vignette.

stochvol 0.8-2

• update(...) now takes an additional boolean argument preventing an update of mu (but instead hold mu = 0 fixed). This feature is needed e.g. for factor stochastic volatility models.
• C++ function "update" rewritten to use ordinary pointers instead of Rcpp objects. This became necessary because Rcpp objects cannot be constructed re-using memory due to the SEXPREC structure. See https://www.mail-archive.com/[e-mail]/msg06811.html and follow-ups for a more detailed explanation.

stochvol 0.8-1

• Added a -I directive for compiler in Makevars.win so that winbuilder finds headers in inst/include/.
• Re-ran all code used in vignette.

stochvol 0.8-0

• Re-structured main sampler code in sampler.cpp: new function "update" performs a single MCMC iteration. Additionally, this function is also made available to be called by C/C++ code in another package. To use this function within C/C++ code, simply #include (defined in inst/include) in the C/C++ code of your package, which itself Imports:/Depends: stochvol (>= 0.8). See package factorstochvol for an example using this mechanism.
• Minor stylistic changes in helper functions and subroutines at C++-level).
• Fixed a minor bug in sampler.cpp where regressionNoncentered returned sigma instead of fabs(sigma) when phi is drawn outside of the unit sphere.
• Fixed DESCRIPTION to Import: Rcpp (instead of Depend:).
• Fixed NAMESPACE: Now has "importFrom(Rcpp, evalCpp)" as required by Rcpp 0.11.0.

stochvol 0.7-2

• Updated CITATION file.
• Updated vignette (mainly stylistic changes).

stochvol 0.7-1

• Manual is now provided as a vignette.

stochvol 0.7-0

• Added a manual.
• Changed the default prior for mu from c(-10, 3) to c(0, 100) to avoid disaster when percentage log-returns (instead of log-returns) are used but the prior is not adapted accordingly.
• Included the date in the exrates dataset.
• Changed svsample to also accept vectors with zero-returns; it throws a warning now (instead of an error) and adds an offset constant.
• Fixed plot.svdraws to reset par to old values.
• Added a "residual plot" feature. Thanks to Hedibert Lopes for pointing this out.
• Added the convenience function "logret" for taking log-returns of a given series, with the possibility of de-meaning.
• Cleaned up summary.svdraws, which now returns a "summary.svdraws" object. For actual printing, print.summary.svdraws is used.
• Cleaned up summary.svsim, which now returns a "summary.svsim" object. For actual printing, print.summary.svsim is used.

stochvol 0.6-1

• Fixed typo in wrapper.R which previously disallowed changing the "expert" argument "proposalvar4sigmaphi": Replaced "proposalvar2sigmaphi" by "proposalvar4sigmaphi" on line 76.
• Included EUR exchange rates from the European Bank's Statistical Data Warehouse. Use with "data(exrates)".
• Added CITATION file.
• Replaced Rprintf by REprintf and cat(...) by cat(..., file=stderr()) for status reports. Thanks to Kurt Hornik for pointing this out.

stochvol 0.6-0

• Introduced ".svsample" for minimal overhead sampling. Intended to be used as a plug-in into other MCMC samplers. No input checking, use with proper care!
• Disabled progress bar in non-Unix-like systems due to problems with console flushing.
• Some bug fixes for solaris. Seems to build fine now. Thanks to Brian Ripley for reporting the bugs.

stochvol 0.5-1

• Replaced all paste0(...) calls by paste(..., sep='') for compatibility reasons.

stochvol 0.5-0

• First CRAN release version.

stochvol documentation built on Nov. 27, 2023, 1:09 a.m.