[R-SIG-Finance] semi-nonparametric density function

[Eric Zivot]

The SNP density model is coded in in S+FinMetrics. However, George Tauchen at Duke has the source code in Fortran and in C++ on his website and you can try to compile and link it in R (good luck). It is essentially a Graham-Charile expansion (edgeworth type expansion) around the normal distribution involving Hermite polynomials and is a fairly standard expansion used in Statistics. 
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*  Eric Zivot                  			               *
*  Robert Richards Chaired Professor of Economics              *
*  Department of Economics                                     *
*  Adjunct Professor of Finance                                *
*  Adjunct Professor of Statistics
*  Box 353330                  email:  ezivot at u.washington.edu *
*  University of Washington    phone:  206-543-6715            *
*  Seattle, WA 98195-3330                                      *                                                           *
*  www:  http://faculty.washington.edu/ezivot                  *
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On Mon, 4 Jul 2011, stefan strunz wrote:

> Hi guys,
>
> I am trying to understand Bao's paper "Comparing Density Forecast Models (2007)". Specifically, page 6, link:
> http://www.faculty.ucr.edu/~taelee/paper/BaoLeeSaltoglu_KLIC.pdf
>
> There, he constructs an AR(p) process, with innovations which are from the semi-nonparametric density function of (Gallant and Nychka - "Semi-nonparametric maximum likelihood estimation" 1987). From what I understand, this density "nests" the standard normal distribution, so that if the data is really standard normally distributed, then the density degenerates to N(0,1).
>
> I tried looking for it on rseek.org and google, but couldn't find anything - even on.? Has anybody had some experience with it, or any idea where to find code for it?
> Would greatly appreciate any help!
>
> Best Regards,
>
> Stefan
>
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