yuima.poisson-class: Class for the mathematical description of Compound Poisson...

In yuima: The YUIMA Project Package for SDEs

Class for the mathematical description of Compound Poisson processes

Description

The yuima.poisson class is a class of the yuima package that extends the yuima.model-class.

Slots

drift:

always expression((0)).

diffusion:

a list of expression((0)).

hurst:

always h=0.5, but ignored for this model.

jump.coeff:

set according to scale in setPoisson.

measure:

a list containting the intensity measure and the jump distribution.

measure.type:

always "CP".

state.variable

a vector of names identifying the names used to denote the state variable in the drift and diffusion specifications.

parameter:

which is a short name for “parameters”, is an object of class model.parameter-class. For more details see model.parameter-class documentation page.

state.variable:

identifies the state variables in the R expression.

jump.variable:

identifies the variable for the jump coefficient.

time.variable:

the time variable.

noise.number:

denotes the number of sources of noise.

equation.number:

denotes the dimension of the stochastic differential equation.

dimension:

the dimensions of the parameter given in the parameter slot.

solve.variable:

identifies the variable with respect to which the stochastic differential equation has to be solved.

xinit:

contains the initial value of the stochastic differential equation.

J.flag:

wheather jump.coeff include jump.variable.

Methods

simulate

simulation method. For more information see simulate.

qmle

Quasi maximum likelihood estimation procedure. For more information see qmle.

Author(s)

The YUIMA Project Team

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