aeMoment: Asymptotic Expansion - Moments

In yuima: The YUIMA Project Package for SDEs

Asymptotic Expansion - Moments

Description

Asymptotic Expansion - Moments

Usage

aeMoment(ae, m = 1, eps = 1, order = NULL)

Arguments

ae	an object of class yuima.ae-class.
m	integer. The moment order. In case of multidimensional processes, it is possible to compute cross-moments by providing a vector of the same length as the state variables.
eps	numeric. The intensity of the perturbation.
order	integer. The expansion order. If NULL (default), it uses the maximum order used in ae.

Value

numeric.

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)

# second moment, expansion order max
aeMoment(ae = approx, m = 2)

# second moment, expansion order 3
aeMoment(ae = approx, m = 2, order = 3)

# second moment, expansion order 2
aeMoment(ae = approx, m = 2, order = 2)

# second moment, expansion order 1
aeMoment(ae = approx, m = 2, order = 1)

## End(Not run)

yuima documentation built on Dec. 28, 2022, 2:01 a.m.