dcKessler {sde} | R Documentation |
Approximated conditional densities for X(t)|X(t0)=x0 of a diffusion process
dcKessler(x, t, x0, t0, theta, d, dx, dxx, s, sx, sxx, log=FALSE)
x |
vector of quantiles. |
t |
lag or time. |
x0 |
the value of the process at time t0 . See details. |
t0 |
intial time. |
theta |
parameter of the process. See details. |
log |
logical; if TRUE, probabilities p are given as log(p). |
d |
drift coefficient as a function. See details. |
dx |
partial derivative wrt x of the
drift coefficient. See details. |
dxx |
second partial derivative wrt x^2 of the
drift coefficient. See details. |
s |
diffusion coefficient as a function. See details. |
sx |
partial derivative wrt x of the
diffusion coefficient. See details. |
sxx |
second partial derivative wrt x^2 of the
diffusion coefficient. See details. |
This function returns the value of the conditional density of
X(t) | X(t0) = x0
at point x
.
All the functions d
, dx
, dxx
, dt
, s
, sx
and sxx
must be functions of t0
, x0
and theta
.
x |
a numeric vector |
This package is a companion to the book Simulation and Inference for Stochastic Differential Equation, Springer, NY.
Stefano Maria Iacus
Kessler, M. (1997) Estimation of an ergodic diffusion from discrete observations, Scand. J. Statist., 24, 211-229.