Humboldt-Universität zu Berlin - Wirtschaftswissenschaftliche Fakultät

The QHQ++ Library

  • QHQc++ 
    QHQc++ is a C++ scientific computing numerical library, including basic linear algebra, numerical optimization, random variables generation, and various statistics tools.
  • QHQmcmc++ 
    QHQmcmc++ includes some Markov Chain Monte Carlo sampling algorithms which are specifically useful for linear/nonlinear Gaussian/Non-Gaussian latent dynamic models. The sampling algorithms for state vector include Kalman Filter, Simulation Smoother, Efficient Important Sampling, and Laplace Approximation. QHQmcmc++ also includes Gibbs sampler and various Metropolis-Hasting algorithms.
  • QHQsv++ 
    QHQsv++ is a MCMC based statistic library for estimating Stochastic Volatility models, including the basic Stochastic Volatility model, the Student-SV, the Jump SV, the SV-in-Mean, the Fractional Integrated SV, the Asymmetric SV, the Dynamic Bivariate Mixture SV and the Multivariate SV model.
  • QHQyv++ (under development)
    Yield Curve Modeling Library


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