SSME: a c++ static library for state space model forecasting and estimation

The current availability includes particle marginal Metropolis-Hastings with a multivariate normal parameter proposals. Also included is the pack container class template that holds onto parameters. Because it is quite common to transform the parameters, this class has the ability to return transformed and untransformed parameters vectors, as well as automatically compute and return (log- )jacobians (which comes in handy when working with evaluating the parameter proposal distribution).

Installation

cd into the location where you want the code saved and then type the following

git clone https://github.com/tbrown122387/ssme.git
cd ssme
mkdir build && cd build/
cmake .. -DCMAKE_INSTALL_PREFIX:PATH=/usr/local
sudo cmake --build . --config Release --target install --parallel

example:

For an example, navigate to the ssme/example directory, and type the following

mkdir build && cd build
cmake ..
make
cd ..
./build/ssme_example spy_returns.csv univ_svol_pmmh_samples univ_svol_pmmh_messages 100 100