snp.tar

SNP is a method of nonparametric time series analysis.  The method
employs an expansion in Hermite functions to approximate the
conditional density of a multivariate process.  An appealing feature
of this expansion is that it is a nonlinear nonparametric model that
directly nests the Gaussian VAR model, the semiparametric VAR model,
the Gaussian ARCH model, the semiparametric ARCH model, the Gaussian
GARCH model, and the semiparametric GARCH model.  The unrestricted SNP
expansion is more general any of these models.  The SNP model is
fitted using conventional maximum likelihood together with a model
selection strategy that determines the appropriate order of
expansion.

The package implements direct computation of functionals of the 
fitted density such as conditional means, conditional variances, 
and points for plotting the density.  It can also generate 
simulated sample paths which can be used to compute nonlinear 
functionals of the density by Monte Carlo integration, notably 
the nonlinear analogs of the impulse-response mean and volatility 
profiles used in traditional VAR, ARCH, and GARCH analysis.  

The package is written in C++.  It includes a parallelized
version that uses MPI, a user's guide, examples, and necessary
libraries.

snp.tar can be unpacked by using unzip on Microsoft Windows or
tar -xf snp.tar on a Unix machine.

User header files written prior to 10/1/06 will require that
realmat, intvec, and kronprd be replaced by scl:realmat,
scl::intvec, and scl::kronprd, respectively.  Similarly, for
source files unless the statement "using namespace scl;" is
added.

This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License as
published by the Free Software Foundation; either version 2 of
the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public
License along with this program; if not, write to the Free
Software Foundation, Inc., 51 Franklin Street, Fifth Floor,
Boston, MA 02110-1301 USA.