BaPreStoPro: Bayesian Prediction of Stochastic Processes

Bayesian estimation and prediction for stochastic processes based on the Euler approximation. Considered processes are: jump diffusion, (mixed) diffusion models, hidden (mixed) diffusion models, non-homogeneous Poisson processes (NHPP), (mixed) regression models for comparison and a regression model including a NHPP.

AuthorSimone Hermann
Date of publication2016-06-07 14:28:11
MaintainerSimone Hermann <hermann@statistik.tu-dortmund.de>
LicenseGPL (>= 2)
Version0.1

View on CRAN

Man pages

ad.propSd: Adaptation of proposal standard deviation

BaPreStoPro-package: Bayesian Prediction of Stochastic Processes

class.to.list: Builds a list from class object

diagnostic: Calculation of a proposal for burn-in phase and thinning rate

Diffusion-class: S4 class of model informations for diffusion process

dNtoTimes: Transformation of NHPP variables to event times

estimate: Bayesian estimation

estimate-Diffusion-method: Estimation for diffusion process

estimate-hiddenDiffusion-method: Estimation for hidden diffusion process

estimate-hiddenmixedDiffusion-method: Estimation for hierarchical (mixed) hidden diffusion process

estimate-jumpDiffusion-method: Estimation for jump diffusion process

estimate-jumpRegression-method: Estimation for regression model dependent on Poisson process

estimate-Merton-method: Estimation for jump diffusion process

estimate-mixedDiffusion-method: Estimation for hierarchical (mixed) diffusion model

estimate-mixedRegression-method: Estimation for the hierarchical (mixed) regression model

estimate-NHPP-method: Estimation for a non-homogeneous Poisson process

estimate-Regression-method: Estimation for regression model

hiddenDiffusion-class: S4 class of model informations for hidden diffusion process

hiddenmixedDiffusion-class: S4 class of model informations for hierarchical (mixed)...

InvMethod: Inversion Method

jumpDiffusion-class: S4 class of model informations for the jump diffusion process

jumpRegression-class: S4 class of model informations for the jump regression model

Merton-class: S4 class of model informations for a special jump diffusion...

mixedDiffusion-class: S4 class of model informations for hierarchical (mixed)...

mixedRegression-class: S4 class of model informations for the hierarchical (mixed)...

NHPP-class: S4 class of model informations for non-homogeneous Poisson...

plot-est.Diffusion-method: Plot method for the Bayesian estimation results

plot-est.hiddenDiffusion-method: Plot method for the Bayesian estimation results

plot-est.hiddenmixedDiffusion-method: Plot method for the Bayesian estimation results

plot-est.jumpDiffusion-method: Plot method for the Bayesian estimation results

plot-est.jumpRegression-method: Plot method for the Bayesian estimation results

plot-est.Merton-method: Plot method for the Bayesian estimation results

plot-est.mixedDiffusion-method: Plot method for the Bayesian estimation results

plot-est.mixedRegression-method: Plot method for the Bayesian estimation results

plot-est.NHPP-method: Plot method for the Bayesian estimation results

plot-est.Regression-method: Plot method for the Bayesian estimation results

pred.base: Bayesian prediction function

predict-est.Diffusion-method: Prediction for a diffusion process

predict-est.hiddenDiffusion-method: Prediction for a hidden diffusion process

predict-est.hiddenmixedDiffusion-method: Prediction for a hierarchical (mixed) hidden diffusion...

predict-est.jumpDiffusion-method: Prediction for a jump diffusion process

predict-est.jumpRegression-method: Prediction for a regression model dependent on a Poisson...

predict-est.Merton-method: Prediction for a jump diffusion process

predict-est.mixedDiffusion-method: Prediction for a hierarchical (mixed) diffusion process model

predict-est.mixedRegression-method: Prediction for a mixed regression model

predict-est.NHPP-method: Prediction for a non-homogeneous Poisson process

predict-est.Regression-method: Prediction for a regression model

prediction.intervals: Bayesian prediction interval function

proposal: Sampling from lognormal proposal density

proposalRatio: Proposal ratio of lognormal proposal density

Regression-class: S4 class of model informations for the regression model

RejSampling: Rejection Sampling Algorithm

set.to.class: Building of model classes

simulate-Diffusion-method: Simulation of diffusion process

simulate-hiddenDiffusion-method: Simulation of hidden diffusion process

simulate-hiddenmixedDiffusion-method: Simulation of hierarchical (mixed) hidden diffusion model

simulate-jumpDiffusion-method: Simulation of jump diffusion process

simulate-jumpRegression-method: Simulation of regression model dependent on Poisson process

simulate-Merton-method: Simulation of jump diffusion process

simulate-mixedDiffusion-method: Simulation of hierarchical (mixed) diffusion model

simulate-mixedRegression-method: Simulation of hierarchical (mixed) regression model

simulate-NHPP-method: Simulation of Poisson process

simulate-Regression-method: Simulation of regression model

TimestoN: Transformation of event times to NHPP

Virkler: Crack Growth

Functions

ad.propSd Man page
BaPreStoPro Man page
BaPreStoPro-package Man page
class.to.list Man page
diagnostic Man page
Diffusion-class Man page
dNtoTimes Man page
estimate Man page
estimate,Diffusion-method Man page
estimate,hiddenDiffusion-method Man page
estimate,hiddenmixedDiffusion-method Man page
estimate,jumpDiffusion-method Man page
estimate,jumpRegression-method Man page
estimate,Merton-method Man page
estimate,mixedDiffusion-method Man page
estimate,mixedRegression-method Man page
estimate,NHPP-method Man page
estimate,Regression-method Man page
hiddenDiffusion-class Man page
hiddenmixedDiffusion-class Man page
InvMethod Man page
jumpDiffusion-class Man page
jumpRegression-class Man page
Merton-class Man page
mixedDiffusion-class Man page
mixedRegression-class Man page
NHPP-class Man page
plot,est.Diffusion-method Man page
plot,est.hiddenDiffusion-method Man page
plot,est.hiddenmixedDiffusion-method Man page
plot,est.jumpDiffusion-method Man page
plot,est.jumpRegression-method Man page
plot,est.Merton-method Man page
plot,est.mixedDiffusion-method Man page
plot,est.mixedRegression-method Man page
plot,est.NHPP-method Man page
plot,est.Regression-method Man page
pred.base Man page
predict,est.Diffusion-method Man page
predict,est.hiddenDiffusion-method Man page
predict,est.hiddenmixedDiffusion-method Man page
predict,est.jumpDiffusion-method Man page
predict,est.jumpRegression-method Man page
predict,est.Merton-method Man page
predict,est.mixedDiffusion-method Man page
predict,est.mixedRegression-method Man page
predict,est.NHPP-method Man page
predict,est.Regression-method Man page
prediction.intervals Man page
proposal Man page
proposalRatio Man page
Regression-class Man page
RejSampling Man page
set.to.class Man page
simulate,Diffusion-method Man page
simulate,hiddenDiffusion-method Man page
simulate,hiddenmixedDiffusion-method Man page
simulate,jumpDiffusion-method Man page
simulate,jumpRegression-method Man page
simulate,Merton-method Man page
simulate,mixedDiffusion-method Man page
simulate,mixedRegression-method Man page
simulate,NHPP-method Man page
simulate,Regression-method Man page
TimestoN Man page
Virkler Man page

Files

BaPreStoPro
BaPreStoPro/NAMESPACE
BaPreStoPro/data
BaPreStoPro/data/Virkler.RData
BaPreStoPro/R
BaPreStoPro/R/plot.R BaPreStoPro/R/predict.R BaPreStoPro/R/postmuOmega.R BaPreStoPro/R/helpingFunctions.R BaPreStoPro/R/estimate.R BaPreStoPro/R/simulate.R BaPreStoPro/R/class_definitions.R BaPreStoPro/R/SMC.R BaPreStoPro/R/class_functions.R
BaPreStoPro/MD5
BaPreStoPro/DESCRIPTION
BaPreStoPro/man
BaPreStoPro/man/simulate-mixedRegression-method.Rd BaPreStoPro/man/mixedRegression-class.Rd BaPreStoPro/man/plot-est.Regression-method.Rd BaPreStoPro/man/estimate-hiddenDiffusion-method.Rd BaPreStoPro/man/Virkler.Rd BaPreStoPro/man/estimate-jumpDiffusion-method.Rd BaPreStoPro/man/proposal.Rd BaPreStoPro/man/simulate-jumpDiffusion-method.Rd BaPreStoPro/man/plot-est.jumpDiffusion-method.Rd BaPreStoPro/man/estimate-Regression-method.Rd BaPreStoPro/man/InvMethod.Rd BaPreStoPro/man/estimate-mixedRegression-method.Rd BaPreStoPro/man/prediction.intervals.Rd BaPreStoPro/man/class.to.list.Rd BaPreStoPro/man/plot-est.Diffusion-method.Rd BaPreStoPro/man/simulate-mixedDiffusion-method.Rd BaPreStoPro/man/predict-est.hiddenmixedDiffusion-method.Rd BaPreStoPro/man/predict-est.Merton-method.Rd BaPreStoPro/man/BaPreStoPro-package.Rd BaPreStoPro/man/plot-est.Merton-method.Rd BaPreStoPro/man/proposalRatio.Rd BaPreStoPro/man/Diffusion-class.Rd BaPreStoPro/man/predict-est.Regression-method.Rd BaPreStoPro/man/predict-est.NHPP-method.Rd BaPreStoPro/man/simulate-hiddenmixedDiffusion-method.Rd BaPreStoPro/man/ad.propSd.Rd BaPreStoPro/man/plot-est.mixedRegression-method.Rd BaPreStoPro/man/estimate-Merton-method.Rd BaPreStoPro/man/estimate-mixedDiffusion-method.Rd BaPreStoPro/man/simulate-Merton-method.Rd BaPreStoPro/man/plot-est.jumpRegression-method.Rd BaPreStoPro/man/jumpDiffusion-class.Rd BaPreStoPro/man/plot-est.hiddenmixedDiffusion-method.Rd BaPreStoPro/man/estimate-Diffusion-method.Rd BaPreStoPro/man/Regression-class.Rd BaPreStoPro/man/predict-est.mixedDiffusion-method.Rd BaPreStoPro/man/simulate-hiddenDiffusion-method.Rd BaPreStoPro/man/simulate-Diffusion-method.Rd BaPreStoPro/man/hiddenmixedDiffusion-class.Rd BaPreStoPro/man/estimate-jumpRegression-method.Rd BaPreStoPro/man/RejSampling.Rd BaPreStoPro/man/set.to.class.Rd BaPreStoPro/man/dNtoTimes.Rd BaPreStoPro/man/estimate-NHPP-method.Rd BaPreStoPro/man/predict-est.mixedRegression-method.Rd BaPreStoPro/man/estimate-hiddenmixedDiffusion-method.Rd BaPreStoPro/man/predict-est.hiddenDiffusion-method.Rd BaPreStoPro/man/predict-est.Diffusion-method.Rd BaPreStoPro/man/simulate-jumpRegression-method.Rd BaPreStoPro/man/estimate.Rd BaPreStoPro/man/NHPP-class.Rd BaPreStoPro/man/hiddenDiffusion-class.Rd BaPreStoPro/man/plot-est.NHPP-method.Rd BaPreStoPro/man/plot-est.hiddenDiffusion-method.Rd BaPreStoPro/man/TimestoN.Rd BaPreStoPro/man/pred.base.Rd BaPreStoPro/man/predict-est.jumpRegression-method.Rd BaPreStoPro/man/mixedDiffusion-class.Rd BaPreStoPro/man/simulate-NHPP-method.Rd BaPreStoPro/man/Merton-class.Rd BaPreStoPro/man/predict-est.jumpDiffusion-method.Rd BaPreStoPro/man/diagnostic.Rd BaPreStoPro/man/jumpRegression-class.Rd BaPreStoPro/man/plot-est.mixedDiffusion-method.Rd BaPreStoPro/man/simulate-Regression-method.Rd

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