simulate_parameters: Simulate from the asymptotic distribution of the parameter...
In JensWahl/stochvolTMB: Likelihood Estimation of Stochastic Volatility Models
simulate_parameters R Documentation
Simulate from the asymptotic distribution of the parameter estimates
Description
Sampling is done on the scale the parameters were estimated. The standard deviations are simulated on log-scale
and the persistence is simulated on logit scale. The same is true for the correlation parameter in the leverage model.
Usage
simulate_parameters(object, nsim = 1000)
Arguments
object
A stochvolTMB object.
nsim
Number of simulations.
Value
matrix of simulated values.
JensWahl/stochvolTMB documentation built on Feb. 5, 2025, 9:28 p.m.
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| simulate_parameters | R Documentation |
Simulate from the asymptotic distribution of the parameter estimates
Description
Sampling is done on the scale the parameters were estimated. The standard deviations are simulated on log-scale and the persistence is simulated on logit scale. The same is true for the correlation parameter in the leverage model.
Usage
simulate_parameters(object, nsim = 1000)
Arguments
object |
A |
nsim |
Number of simulations. |
Value
matrix of simulated values.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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