Changes in Version 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). Changes in Version 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. Changes in Version 2.0.2: - Bugfix in 'predict.svdraws' Changes in Version 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 Changes in Version 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' Changes in Version 1.3.4: - DESCRIPTION file updated. Changes in Version 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. Changes in Version 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). Changes in Version 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). Changes in Version 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. Changes in Version 1.2.4: - Fixed typo which appeared in pdf package documentation. Thanks to Stefan Voigt for pointing this out. Changes in Version 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. Changes in Version 1.2.2: - Fixed bug in initialization of svsample2 that was introduced in 1.2.1. Thanks to John Kerpel for pointing this out. Changes in Version 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'. Changes in Version 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. Changes in Version 1.1.4: - Included non-base default packages that are imported in NAMESPACE into DESCRIPTION. Thanks to Kurt Hornik for pointing this out. Changes in Version 1.1.3: - Fixed a typo in Makefile for building vignettes. Changes in Version 1.1.2: - Fixed missing imports from non-base default packages. Changes in Version 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). Changes in Version 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) Changes in Version 1.0.2: - Fixed some more typos. - Plotting functions are now in R/plotting.R Changes in Version 1.0.1: - Updated keywords in vignette. - Changed VignetteKeyword entries to adhere to CRAN style guide. Changes in Version 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. Changes in Version 0.9-2: - Fixed some typographical errors in help files. Thanks to Angela Bitto for pointing these out. Changes in Version 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. Changes in Version 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/rcpp-devel@lists.r-forge.r-project.org/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. Changes in Version 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. Changes in Version 0.8-3: - Minor changes in vignette. Changes in Version 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/rcpp-devel@lists.r-forge.r-project.org/msg06811.html and follow-ups for a more detailed explanation. Changes in Version 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. Changes in Version 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. Changes in Version 0.7-2 - Updated CITATION file. - Updated vignette (mainly stylistic changes). Changes in Version 0.7-1 - Manual is now provided as a vignette. Changes in Version 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. Changes in Version 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. Changes in Version 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. Changes in Version 0.5-1 - Replaced all paste0(...) calls by paste(..., sep='') for compatibility reasons. Changes in Version 0.5-0 - First CRAN release version. TODO: - Code updatesummary in C (apply w/ quantiles is slow). - Make AWOL sampler available for fixed parameters. Thanks to Hedibert Lopes for pointing this out.