grid_filter: Filter on a grid for the log-volatility

In stochvolTMB: Likelihood Estimation of Stochastic Volatility Models

Filter on a grid for the log-volatility

Description

Keeps the predictive density of h_t on a grid. For each observation it calculates the predictive distribution function of y_t, updates the density with y_t and moves it one step forward. Grid points with negligible weight are skipped, so the cost per step is small.

Usage

grid_filter(object, grid_size = 500, width = 8)

Arguments

object	A stochvolTMB object.
grid_size	Number of grid points.
width	Half-width of the grid in stationary standard deviations of h_t.

Value

A list with prob, the predictive distribution function at each y_t; weights, a list of length n + 1 where element t holds the grid indices idx and the normalized predictive weights w of h_t given y_1, ..., y_{t-1} (element n + 1 is the forecast); and scale, the conditional standard deviation sigma_y * exp(h / 2) at each grid point.

stochvolTMB documentation built on Nov. 7, 2026, 5:08 p.m.