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

Author

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

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.

Suggested Citation

  • Pemstein, Daniel & Quinn, Kevin M. & Martin, Andrew D., 2011. "The Scythe Statistical Library: An Open Source C++ Library for Statistical Computation," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 42(i12).
    • Handle: RePEc:jss:jstsof:v:042:i12
    DOI: http://hdl.handle.net/10.18637/jss.v042.i12
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    Cited by:

    1. repec:jss:jstsof:42:i01 is not listed on IDEAS
    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.
    3. Trojan, Sebastian, 2014. "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series 1424, University of St. Gallen, School of Economics and Political Science.
    4. 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.
    5. Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series 1425, University of St. Gallen, School of Economics and Political Science.

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