linear.mart.ef {sde} | R Documentation |
Apply linear martingale estimating function to find estimates of the parameters of a process solution of a stochastic differential equation.
linear.mart.ef(X, drift, sigma, a1, a2, guess, lower, upper, c.mean, c.var)
X |
a ts object containg a sample path of a sde. |
drift |
an expression for the drift coefficient. See details. |
sigma |
an expression for the diffusion coefficient. See details. |
a1, a2 |
weights or instruments |
c.mean |
expressions for the conditional mean |
c.var |
expressions for the conditional variance |
guess |
initial value of the parameters. See details. |
lower |
lower bounds for the parameters. See details. |
upper |
upper bounds for the parameters. See details. |
The function linear.mart.ef
minimizes a linear martinagale
estimating function which is a particualr case of the polynomial
martingale estimating functions (see references).
x |
a vector of estimates |
Stefano Maria Iacus
Bibby, B., Soerensen, M. (1995) Martingale estimating functions for discretely observed diffusion processes, Bernoulli, 1, 17-39.
set.seed(123) d <- expression(-1 * x) s <- expression(1) x0 <- rnorm(1,sd=sqrt(1/2)) sde.sim(X0=x0,drift=d, sigma=s,N=1000,delta=0.1) -> X d <- expression(-theta * x) linear.mart.ef(X, d, s, a1=expression(-x), lower=0, upper=Inf, c.mean=expression(x*exp(-theta*0.1)), c.var=expression((1-exp(-2*theta*0.1))/(2*theta)))