aeCharacteristic: Asymptotic Expansion - Characteristic Function

In yuima: The YUIMA Project Package for SDEs

Asymptotic Expansion - Characteristic Function

Description

Asymptotic Expansion - Characteristic Function

Usage

aeCharacteristic(..., ae, eps = 1, order = NULL)

Arguments

...	named argument, data.frame, list, or environment specifying the grid to evaluate the characteristic function. See examples.
ae	an object of class yuima.ae-class.
eps	numeric. The intensity of the perturbation.
order	integer. The expansion order. If NULL (default), it uses the maximum order used in ae.

Value

Characteristic function evaluated on the given grid.

Examples

## Not run: 
# model
gbm <- setModel(drift = 'mu*x', diffusion = 'sigma*x', solve.variable = 'x')

# settings
xinit <- 100
par <- list(mu = 0.01, sigma = 0.2)
sampling <- setSampling(Initial = 0, Terminal = 1, n = 1000)

# asymptotic expansion
approx <- ae(model = gbm, sampling = sampling, order = 4, true.parameter = par, xinit = xinit)

# The following are all equivalent methods to specify the grid via ....
# Notice that the character 'u1' corresponds to the 'u.var' of the ae object.
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# 1) named argument  
u1 <- seq(0, 1, by = 0.1)
psi <- aeCharacteristic(u1 = u1, ae = approx, order = 4)
# 2) data frame
df <- data.frame(u1 = seq(0, 1, by = 0.1))
psi <- aeCharacteristic(df, ae = approx, order = 4)
# 3) environment
env <- new.env()
env$u1 <- seq(0, 1, by = 0.1)
psi <- aeCharacteristic(env, ae = approx, order = 4)
# 4) list
lst <- list(u1 = seq(0, 1, by = 0.1))
psi <- aeCharacteristic(lst, ae = approx, order = 4)

## End(Not run)

yuima documentation built on April 16, 2025, 5:12 p.m.