{ "_id": "6a1d3d331d7bb097a0a3fd15", "Package": "SVDNF", "Type": "Package", "Title": "Discrete Nonlinear Filtering for Stochastic Volatility Models", "Version": "0.1.11", "Authors@R": "c(person(\"Louis\", \"Arsenault-Mahjoubi\", role = c(\"aut\", \"cre\"),\nemail = \"larsenau@sfu.ca\"),\nperson(\"Jean-François\", \"Bégin\", role = \"aut\"),\nperson(\"Mathieu\", \"Boudreault\", role = \"aut\") )", "Author": "Louis Arsenault-Mahjoubi [aut, cre], Jean-François Bégin [aut],\nMathieu Boudreault [aut]", "Maintainer": "Louis Arsenault-Mahjoubi ", "Description": "Implements the discrete nonlinear filter (DNF) of Kitagawa\n(1987) to a wide class of\nstochastic volatility (SV) models with return and volatility\njumps following the work of Bégin and Boudreault (2021)\n to obtain likelihood\nevaluations and maximum likelihood parameter estimates. Offers\nseveral built-in SV models and a flexible framework for users\nto create customized models by specifying drift and diffusion\nfunctions along with an arrival distribution for the return and\nvolatility jumps. Allows for the estimation of factor models\nwith stochastic volatility (e.g., heteroskedastic volatility\nCAPM) by incorporating expected return predictors. Also\nincludes functions to compute filtering and prediction\ndistribution estimates, to simulate data from built-in and\ncustom SV models with jumps, and to forecast future returns and\nvolatility values using Monte Carlo simulation from a given SV\nmodel.", "License": "GPL-3", "Encoding": "UTF-8", "RoxygenNote": "7.2.3", "VignetteBuilder": "R.rsp", "NeedsCompilation": "yes", "Packaged": { "Date": "2026-06-01 07:58:34 UTC", "User": "root" }, "Repository": "https://louiszam.r-universe.dev", "Date/Publication": "2024-10-29 00:30:02 UTC", "RemoteUrl": "https://github.com/cran/SVDNF", "RemoteRef": "HEAD", "RemoteSha": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "MD5sum": "cd966192c6add28a4b5cd2955192f57e", "_user": "louiszam", "_type": "src", "_file": "SVDNF_0.1.11.tar.gz", "_fileid": "3eb8a488fb06aaf3e378b5d6d481d1ba0f80eeb737248884d1b6832b2a8f98f7", "_filesize": 980439, "_sha256": "3eb8a488fb06aaf3e378b5d6d481d1ba0f80eeb737248884d1b6832b2a8f98f7", "_created": "2026-06-01T07:58:34.000Z", "_published": "2026-06-01T08:05:07.440Z", "_distro": "noble", "_jobs": [ { "job": 78809850471, "time": 120, "config": "linux-devel-arm64", "r": "4.7.0", "check": "OK", "artifact": "7326238587" }, { "job": 78809850484, "time": 107, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7326233721" }, { "job": 78809850477, "time": 122, "config": "linux-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7326238723" }, { "job": 78809850516, "time": 119, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7326237927" }, { "job": 78809850535, "time": 150, "config": "macos-oldrel-arm64", "r": "4.5.3", "check": "OK", "artifact": "7326238858" }, { "job": 78809850499, "time": 240, "config": "macos-oldrel-x86_64", "r": "4.5.3", "check": "OK", "artifact": "7326270221" }, { "job": 78809850518, "time": 164, "config": "macos-release-arm64", "r": "4.6.0", "check": "OK", "artifact": "7326244789" }, { "job": 78809850549, "time": 352, "config": "macos-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7326303057" }, { "job": 78809462735, "time": 156, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7326201057" }, { "job": 78809850474, "time": 95, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7326230247" }, { "job": 78809850494, "time": 98, "config": "windows-devel", "r": "4.7.0", "check": "OK", "artifact": "7326231380" }, { "job": 78809850463, "time": 96, "config": "windows-oldrel", "r": "4.5.3", "check": "OK", "artifact": "7326230562" }, { "job": 78809850466, "time": 92, "config": "windows-release", "r": "4.6.0", "check": "OK", "artifact": "7326229301" } ], "_buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/SVDNF", "_commit": { "id": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "author": "Louis Arsenault-Mahjoubi ", "committer": "cran-robot ", "message": "version 0.1.11\n", "time": 1730161802 }, "_maintainer": { "name": "Louis Arsenault-Mahjoubi", "email": "larsenau@sfu.ca", "login": "louiszam", "description": "", "uuid": 67562088 }, "_registered": true, "_dependencies": [ { "package": "Rcpp", "role": "LinkingTo" }, { "package": "Rcpp", "version": ">= 1.0.9", "role": "Imports" }, { "package": "methods", "role": "Imports" }, { "package": "zoo", "role": "Imports" }, { "package": "xts", "role": "Imports" }, { "package": "R.rsp", "role": "Suggests" } ], "_owner": "cran", "_selfowned": true, "_usedby": 0, "_updates": [], "_tags": [], "_stars": 0, "_contributors": [ { "user": "louiszam", "count": 12, "uuid": 67562088 } ], "_userbio": { "uuid": 67562088, "type": "user", "name": "LouisZAM" }, "_downloads": { "count": 635, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/SVDNF" }, "_searchresults": 1, "_topics": [ "cpp" ], "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/SVDNF.html", "manual.pdf" ], "_realowner": "louiszam", "_cranurl": false, "_releases": [ { "version": "0.1.0", "date": "2022-10-11" }, { "version": "0.1.1", "date": "2022-11-07" }, { "version": "0.1.2", "date": "2023-01-06" }, { "version": "0.1.3", "date": "2023-01-14" }, { "version": "0.1.4", "date": "2023-03-01" }, { "version": "0.1.5", "date": "2023-05-31" }, { "version": "0.1.6", "date": "2023-07-13" }, { "version": "0.1.7", "date": "2023-07-21" }, { "version": "0.1.8", "date": "2023-08-08" }, { "version": "0.1.9", "date": "2024-09-04" }, { "version": "0.1.10", "date": "2024-10-04" }, { "version": "0.1.11", "date": "2024-10-29" } ], "_exports": [ "DNF", "DNFOptim", "dynamicsSVM", "extractVolPerc", "modelSim", "pars" ], "_help": [ { "page": "DNF.dynamicsSVM", "title": "Discrete Nonlinear Filtering Algorithm for Stochastic Volatility Models", "topics": [ "DNF", "DNF.dynamicsSVM" ] }, { "page": "DNFOptim", "title": "Discrete Nonlinear Filter Maximum Likelihood Estimation Function", "topics": [ "DNFOptim", "DNFOptim.dynamicsSVM" ] }, { "page": "dynamicsSVM", "title": "Stochastic Volatility Models Dynamics", "topics": [ "dynamicsSVM" ] }, { "page": "extractVolPerc", "title": "Extract Filtering and Prediction Distribution Percentiles", "topics": [ "extractVolPerc", "extractVolPerc.DNFOptim", "extractVolPerc.SVDNF" ] }, { "page": "logLik.SVDNF", "title": "Extract Log-Likelihood for 'SVDNF' and 'DNFOptim' Objects", "topics": [ "logLik.DNFOptim", "logLik.SVDNF" ] }, { "page": "modelSim.dynamicsSVM", "title": "Simulation from Stochastic Volatility Models with Jumps", "topics": [ "modelSim", "modelSim.dynamicsSVM" ] }, { "page": "pars", "title": "Parameters Names and Order for Stochastic Volatility Models with Jumps", "topics": [ "pars", "pars.dynamicsSVM" ] }, { "page": "plot.predict.DNFOptim", "title": "Plot Predictions from 'DNFOptim' or 'SVDNF' Objects", "topics": [ "plot.predict.DNFOptim", "plot.predict.SVDNF" ] }, { "page": "plot.SVDNF", "title": "DNF Filtering Distribution Plot Function", "topics": [ "plot.DNFOptim", "plot.SVDNF" ] }, { "page": "predict.DNFOptim", "title": "Predict Method for 'DNFOptim' and 'SVDNF' Objects", "topics": [ "predict.DNFOptim", "predict.SVDNF" ] }, { "page": "summary.DNFOptim", "title": "Summarizing Stochastic Volatility Model Fits from the Discrete Nonlinear Filter", "topics": [ "print.summary.DNFOptim", "summary.DNFOptim" ] } ], "_rundeps": [ "lattice", "Rcpp", "xts", "zoo" ], "_sysdeps": [ { "shlib": "libstdc++", "package": "libstdc++6", "source": "gcc", "version": "14.2.0-4ubuntu2~24.04.1", "name": "c++", "homepage": "http://gcc.gnu.org/", "description": "GNU Standard C++ Library v3" } ], "_vignettes": [ { "source": "vignette.pdf.asis", "filename": "vignette.pdf", "title": "SVDNF R package Discrete Nonlinear Filtering for Stochastic Volatility Models", "engine": "R.rsp::asis", "headings": [], "created": "2024-10-05 02:58:39", "modified": "2024-10-05 02:58:39", "commits": 1 } ], "_score": 2, "_indexed": true, "_nocasepkg": "svdnf", "_universes": [ "louiszam" ], "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "0.1.11", "date": "2026-06-01T08:00:35.000Z", "distro": "noble", "arch": "aarch64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "4f843634b561b9e436ad876d172ae43b29e46edc35aac56ba756da0c416640cd", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.7.0", "os": "linux", "version": "0.1.11", "date": "2026-06-01T08:00:17.000Z", "distro": "noble", "arch": "x86_64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "d2bb55a44769bfbe258e1bc4e945d723a52464a362724bbe5720b2f0c9d554f3", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.6.0", "os": "linux", "version": "0.1.11", "date": "2026-06-01T08:00:36.000Z", "distro": "noble", "arch": "aarch64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "28393122d1ca77826b4bdc789a35a20373998604bff4a3c465d757a5bb4fdfc4", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.6.0", "os": "linux", "version": "0.1.11", "date": "2026-06-01T08:00:30.000Z", "distro": "noble", "arch": "x86_64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "4bf3a4b0597de981d27f0fa1f690bd3f226be314877192810f563f7c760d5df9", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.5.3", "os": "mac", "version": "0.1.11", "date": "2026-06-01T08:00:39.000Z", "arch": "aarch64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "e8eca603ac807bf00857ccbdb3706eb129f141723641c44b807e27c19dea62ad", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.5.3", "os": "mac", "version": "0.1.11", "date": "2026-06-01T08:01:59.000Z", "arch": "x86_64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "5970d67122c859763ea89a9fc014ff8e6783ac479542b9c0eeeb1dfe4ad99753", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.6.0", "os": "mac", "version": "0.1.11", "date": "2026-06-01T08:00:50.000Z", "arch": "aarch64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "35ededaf6fbb57e2ca3bae87cb7b021ba5f46873808fe4fb0b64f7d60e42e0c9", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.6.0", "os": "mac", "version": "0.1.11", "date": "2026-06-01T08:03:09.000Z", "arch": "x86_64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "4d676d4da53539bc8a5d437f92893e1708c260dadc14b21b5cd6dc7d250ccc7e", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.6.0", "os": "wasm", "version": "0.1.11", "date": "2026-06-01T08:00:26.000Z", "arch": "emscripten", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "89964205e9267f65a1e0bcada2c28b193ef55fe03aa06caa17b521ec6aac8210", "status": "success", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.7.0", "os": "win", "version": "0.1.11", "date": "2026-06-01T07:59:44.000Z", "arch": "x86_64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "1e26c51a2beec0daadf10900d9d709ebbdfe72921b5f8f6895131513bc36a7b4", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.5.3", "os": "win", "version": "0.1.11", "date": "2026-06-01T07:59:41.000Z", "arch": "x86_64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "6a238f2307a8863b2a72139c83e773e4c08f74872c4633d3a653c72f5a0c2aee", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" }, { "r": "4.6.0", "os": "win", "version": "0.1.11", "date": "2026-06-01T07:59:40.000Z", "arch": "x86_64", "commit": "6c8ef7ca5854dad3aa349d87824e3108b48212b4", "fileid": "65916d4cf0a225fc20d0f45c636f2909ecf94cb9ae0a841dc47fa9d3a3a028d2", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/louiszam/actions/runs/26742421185" } ] }