get_model_SVLevy_multifactor_noleverage: get_model_SVLevy_multifactor_noleverage
In pierrejacob/bayeshscore: Bayesian Model Comparison using the Hyvarinen Score
View source: R/get_model_SVLevy_multifactor_noleverage.R
Description
Levy-driven Stochastic volatility model with multi-factor, as described by equations
(14) and (15) in Chopin, Jacob, Papaspiliopoulos (2013), and discussed in more detail
in Barndorff-Nielsen and Shephard (2002).
The states are Xt = (v1t, z1t, v2t, z2t).
Usage
1
2
3
4
get_model_SVLevy_multifactor_noleverage(timesteps, mu0mu = 0,
sigma02mu = 10, mu0beta = 0, sigma02beta = 10, r0xi = 1/5,
r0w2 = 1/5, r0lambda1 = 1, r0lambda2_1 = 1/2, alpha0w = 1,
beta0w = 1)
pierrejacob/bayeshscore documentation built on May 25, 2019, 11:35 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
View source: R/get_model_SVLevy_multifactor_noleverage.R
Description
Levy-driven Stochastic volatility model with multi-factor, as described by equations (14) and (15) in Chopin, Jacob, Papaspiliopoulos (2013), and discussed in more detail in Barndorff-Nielsen and Shephard (2002). The states are Xt = (v1t, z1t, v2t, z2t).
Usage
1 2 3 4 | get_model_SVLevy_multifactor_noleverage(timesteps, mu0mu = 0,
sigma02mu = 10, mu0beta = 0, sigma02beta = 10, r0xi = 1/5,
r0w2 = 1/5, r0lambda1 = 1, r0lambda2_1 = 1/2, alpha0w = 1,
beta0w = 1)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.