dcOzaki {sde}R Documentation

Approximated conditional law of a diffusion process by Ozaki's method

Description

Approximated conditional densities for X(t) | X(t0) = x0 of a diffusion process

Usage

dcOzaki(x, t, x0, t0, theta, d, dx, s, log=FALSE)

Arguments

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.
s diffusion coefficient as a function. See details.

Details

This function returns the value of the conditional density of X(t) | X(t0) = x0 at point x.

All the functions d, dx and s must be functions of t, x and theta.

Value

x a numeric vector

Author(s)

Stefano Maria Iacus

References

Ozaki, T. (1992) A bridge between nonlinear time series models and nonlinear stochastic dynamical systems: A local linearization approach, Statistica Sinica, 2, 25-83.


[Package sde version 1.9.33 Index]