BaPreStoPro: Bayesian Prediction of Stochastic Processes

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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.

Author
Simone Hermann
Date of publication
2016-06-07 14:28:11
Maintainer
Simone Hermann <hermann@statistik.tu-dortmund.de>
License
GPL (>= 2)
Version
0.1

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

Files in this package

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