sde: Simulation and Inference for Stochastic Differential Equations
Version 2.0.15

Companion package to the book Simulation and Inference for Stochastic Differential Equations With R Examples, ISBN 978-0-387-75838-1, Springer, NY.

AuthorStefano Maria Iacus
Date of publication2016-04-13 17:59:20
MaintainerStefano Maria Iacus <stefano.iacus@unimi.it>
LicenseGPL (>= 2)
Version2.0.15
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("sde")

Popular man pages

BM: Brownian motion, Brownian bridge, and geometric Brownian...
dcElerian: Approximated conditional law of a diffusion process by...
dcKessler: Approximated conditional law of a diffusion process by...
dcShoji: Approximated conditional law of a diffusion process by the...
rcBS: Black-Scholes-Merton or geometric Brownian motion process...
sde.sim: Simulation of stochastic differential equation
SIMloglik: Pedersen's approximation of the likelihood
See all...

All man pages Function index File listing

Man pages

BM: Brownian motion, Brownian bridge, and geometric Brownian...
cpoint: Volatility change-point estimator for diffusion processes
DBridge: Simulation of diffusion bridge
dcElerian: Approximated conditional law of a diffusion process by...
dcEuler: Approximated conditional law of a diffusion process
dcKessler: Approximated conditional law of a diffusion process by...
dcOzaki: Approximated conditional law of a diffusion process by...
dcShoji: Approximated conditional law of a diffusion process by the...
dcSim: Pedersen's simulated transition density
DWJ: Weekly closings of the Dow-Jones industrial average
EULERloglik: Euler approximation of the likelihood
gmm: Generalized method of moments estimator
HPloglik: Ait-Sahalia Hermite polynomial expansion approximation of the...
ksmooth: Nonparametric invariant density, drift, and diffusion...
linear.mart.ef: Linear martingale estimating function
MOdist: Markov Operator distance for clustering diffusion processes.
quotes: Daily closings of 20 financial time series from 2006-01-03 to...
rcBS: Black-Scholes-Merton or geometric Brownian motion process...
rcCIR: Conditional law of the Cox-Ingersoll-Ross process
rcOU: Ornstein-Uhlenbeck or Vasicek process conditional law
rsCIR: Cox-Ingersoll-Ross process stationary law
rsOU: Ornstein-Uhlenbeck or Vasicek process stationary law
sdeAIC: Akaike's information criterion for diffusion processes
sdeDiv: Phi-Divergences test for diffusion processes
sde.sim: Simulation of stochastic differential equation
SIMloglik: Pedersen's approximation of the likelihood
simple.ef: Simple estimating functions of types I and II
simple.ef2: Simple estimating function based on the infinitesimal...

Functions

BBridge Man page Source code
BM Man page Source code
DBridge Man page Source code
DWJ Man page
EULERloglik Man page
GBM Man page Source code
HPloglik Man page
MOdist Man page Source code
SIMloglik Man page Source code
checkBS Source code
checkCIR Source code
checkOU Source code
cpoint Man page Source code
dcBS Man page Source code
dcCIR Man page Source code
dcElerian Man page Source code
dcEuler Man page Source code
dcKessler Man page Source code
dcOU Man page Source code
dcOzaki Man page Source code
dcShoji Man page Source code
dcSim Man page Source code
dsCIR Man page Source code
dsOU Man page Source code
expBes Source code
gmm Man page Source code
ksdens Man page Source code
ksdiff Man page Source code
ksdrift Man page Source code
linear.mart.ef Man page Source code
onAttach Source code
pcBS Man page Source code
pcCIR Man page Source code
pcOU Man page Source code
psCIR Man page Source code
psOU Man page Source code
qcBS Man page Source code
qcCIR Man page Source code
qcOU Man page Source code
qsCIR Man page Source code
qsOU Man page Source code
quotes Man page
rcBS Man page Source code
rcCIR Man page Source code
rcOU Man page Source code
rsCIR Man page Source code
rsOU Man page Source code
sde.sim Man page Source code
sdeAIC Man page Source code
sdeDiv Man page Source code
setBS Source code
setCIR Source code
setOU Source code
simple.ef Man page Source code
simple.ef2 Man page Source code

Files

inst
inst/book
inst/book/ex3.14.R
inst/book/ex2.01.R
inst/book/ex1.12.R
inst/book/ex2.06.R
inst/book/ex2.09.R
inst/book/ex1.05.R
inst/book/ex3.09.R
inst/book/ex3.05.R
inst/book/ex4.05.R
inst/book/ex2.05.R
inst/book/ex3.02.R
inst/book/ex3.06.R
inst/book/ex2.11.R
inst/book/ex4.07.R
inst/book/ex3.10.R
inst/book/ex2.10.R
inst/book/ex1.14.R
inst/book/ex2.15.R
inst/book/ex3.15.R
inst/book/ch1.R
inst/book/ex3.07.R
inst/book/ex2.16.R
inst/book/ex2.07.R
inst/book/ex4.01.R
inst/book/ex2.08.R
inst/book/ex1.08.R
inst/book/ex1.10.R
inst/book/ex3.16.R
inst/book/ex3.04.R
inst/book/ex1.06.R
inst/book/ch4.R
inst/book/ex2.12.R
inst/book/ex1.01.R
inst/book/ex1.07.R
inst/book/ex3.08.R
inst/book/ex4.03.R
inst/book/ex3.03.R
inst/book/ex4.04.R
inst/book/ex1.02.R
inst/book/ex2.03.R
inst/book/ex1.13.R
inst/book/ex1.03.R
inst/book/ex2.14.R
inst/book/ex1.04.R
inst/book/ex2.13.R
inst/book/ex1.15.R
inst/book/ex2.02.R
inst/book/ex2.17.R
inst/book/ex4.02.R
inst/book/ch3.R
inst/book/ex1.09.R
inst/book/ex2.04.R
inst/book/ch2.R
inst/book/ex3.13.R
inst/book/ex3.12.R
inst/book/ex3.11.R
inst/book/ex4.06.R
inst/book/ex1.11.R
inst/book/ex3.01.R
inst/book/ex2.18.R
inst/doc
inst/doc/changes.txt
inst/doc/sde.errata.Rnw
inst/doc/sde.errata.pdf
src
src/sde.sim.c
NAMESPACE
data
data/DWJ.rda
data/quotes.rda
R
R/sde.sim.shoji.R
R/rOU.R
R/gmm.R
R/sde.sim.ozaki.R
R/rBS.R
R/sde.sim.KPS.R
R/simple.ef.R
R/sde.sim.cdist.R
R/simple.ef2.R
R/cpoint.R
R/sdeAIC.R
R/MOdist.R
R/rCIR.R
R/loglik.R
R/sde.sim.R
R/sde.sim.euler.R
R/DBridge.R
R/dcApprox.R
R/ksmooth.R
R/sde.sim.milstein.R
R/linear.mart.ef.R
R/BM.R
R/dcSim.R
R/sde.sim.ea.R
R/sde.sim.milstein2.R
R/sdeDiv.R
R/zzz.R
vignettes
vignettes/sde.errata.Rnw
MD5
build
build/vignette.rds
DESCRIPTION
man
man/gmm.Rd
man/HPloglik.Rd
man/ksmooth.Rd
man/dcShoji.Rd
man/DBridge.Rd
man/rcBS.Rd
man/sdeDiv.Rd
man/sde.sim.Rd
man/linear.mart.ef.Rd
man/MOdist.Rd
man/sdeAIC.Rd
man/dcOzaki.Rd
man/dcElerian.Rd
man/simple.ef.Rd
man/dcSim.Rd
man/SIMloglik.Rd
man/DWJ.Rd
man/rcOU.Rd
man/cpoint.Rd
man/quotes.Rd
man/simple.ef2.Rd
man/rcCIR.Rd
man/BM.Rd
man/dcEuler.Rd
man/rsOU.Rd
man/rsCIR.Rd
man/EULERloglik.Rd
man/dcKessler.Rd
sde documentation built on May 19, 2017, 9 p.m.

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs in the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.