dcShoji {sde} | R Documentation |
Approximated conditional densities for X(t) | X(t0) = x0
of a diffusion process
dcShoji(x, t, x0, t0, theta, d, dx, dxx, dt, s, 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. |
dt |
partial derivative wrt t of the
drift coefficient. See details. |
s |
diffusion coefficient as a function. 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
and s
must be functions of t
, x
and theta
.
x |
a numeric vector |
Stefano Maria Iacus
Shoji, L., Ozaki, T. (1998) Estimation for nonlinear stochastic differential equations by a local linearization method, Stochastic Analysis and Applications, 16, 733-752.