ADMB Presentation at Seventh European Automatic Differentiation Workshop
On November 25 2008, the Seventh European Workshop on Automatic Differentiation heard a presentation by Hans Skaug entitled Automated Likelihood Based Inference for Stochastic Volatility Models using AD Model Builder. Skaug and coauthors Jun Yu and Dave Fournier apply the Laplace approximation to fit stochastic volatility (SV) models. The models are implemented in AD Model Builder which uses third order automatic differentiation. The use of AD Model Builder substantially reduces computation time relative to Markov chain Monte Carlo (MCMC) algorithms.