sde.valid: SDE data and parameter validators.

In mlysy/msde: Bayesian Inference for Multivariate Stochastic Differential Equations

SDE data and parameter validators.

Description

Checks whether input SDE data and parameters are valid.

Usage

sde.valid.data(model, x, theta)

sde.valid.params(model, theta)

Arguments

model	An sde.model object.
x	A length-ndims vector or ndims-column matrix of SDE data.
theta	A length-nparams vector or nparams-column of SDE parameter values.

Value

A logical scalar or vector indicating whether the given data/parameter pair is valid.

Examples

# Heston's model
# valid data is: Z > 0
# valid parameters are: gamma, sigma > 0, |rho| < 1, beta > .5 * sigma^2
hmod <- sde.examples("hest") # load model

theta <- c(alpha = 0.1, gamma = 1, beta = 0.8, sigma = 0.6, rho = -0.8)

# valid data
x0 <- c(X = log(1000), Z = 0.1)
sde.valid.data(model = hmod, x = x0, theta = theta)

# invalid data
x0 <- c(X = log(1000), Z = -0.1)
sde.valid.data(model = hmod, x = x0, theta = theta)

# valid parameters
theta <- c(alpha = 0.1, gamma = 1, beta = 0.8, sigma = 0.6, rho = -0.8)
sde.valid.params(model = hmod, theta = theta)

# invalid parameters
theta <- c(alpha = 0.1, gamma = -4, beta = 0.8, sigma = 0.6, rho = -0.8)
sde.valid.params(model = hmod, theta = theta)

mlysy/msde documentation built on May 28, 2022, 5:18 p.m.