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The Scythe Statistical Library: An Open Source C++ Library for Statistical Computation

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  • Daniel Pemstein
  • Kevin M. Quinn
  • Andrew D. Martin
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    Abstract

    The Scythe Statistical Library is an open source C++ library for statistical computation. It includes a suite of matrix manipulation functions, a suite of pseudo-random number generators, and a suite of numerical optimization routines. Programs written using Scythe are generally much faster than those written in commonly used interpreted languages, such as R and \proglang{MATLAB}; and can be compiled on any system with the GNU GCC compiler (and perhaps with other C++ compilers). One of the primary design goals of the Scythe developers has been ease of use for non-expert C++ programmers. Ease of use is provided through three primary mechanisms: (1) operator and function over-loading, (2) numerous pre-fabricated utility functions, and (3) clear documentation and example programs. Additionally, Scythe is quite flexible and entirely extensible because the source code is available to all users under the GNU General Public License.

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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of Statistical Software.

    Volume (Year): 42 ()
    Issue (Month): i12 ()
    Pages:

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    Handle: RePEc:jss:jstsof:42:i12

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    Web page: http://www.jstatsoft.org/

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    Cited by:
    1. Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science, revised Aug 2014.
    2. Abanto-Valle, Carlos A. & Dey, Dipak K., 2014. "State space mixed models for binary responses with scale mixture of normal distributions links," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 274-287.

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