Informations of model dY_t = b(φ,t,Y_t)dt + γ \widetilde{s}(t,Y_t)dW_t.
phi
parameter φ
gamma2
parameter γ^2
b.fun
function b(φ,t,y)
sT.fun
function \widetilde{s}(t,y)
prior
list of prior parameters
start
list of starting values for the Metropolis within Gibbs sampler
1 2 3 4 5 6 7 8 | parameter <- list(phi = 0.1, gamma2 = 0.01)
b.fun <- function(phi, t, y) phi * y
sT.fun <- function(t, y) y
start <- parameter
prior <- list(m.phi = parameter$phi, v.phi = parameter$phi^2,
alpha.gamma = 3, beta.gamma = 2*parameter$gamma2)
model <- set.to.class("Diffusion", parameter, prior, start,
b.fun = b.fun, sT.fun = sT.fun)
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