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AD Model Builder 1 Automatic differentiation 1 Empirical Bayes 1 Importance sampling 1 Laplace approximation 1 Simulated maximum likelihood 1
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Skaug, Hans J. 1 Yu, Jun 1
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Computational Statistics & Data Analysis 1
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A flexible and automated likelihood based framework for inference in stochastic volatility models
Skaug, Hans J.; Yu, Jun - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 642-654
source software AD Model Builder, which with its latent variable module (ADMB-RE) facilitates the formulation and fitting of …
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