get_model_SVLevy_singlefactor: get_model_SVLevy_singlefactor
In pierrejacob/bayeshscore: Bayesian Model Comparison using the Hyvarinen Score
View source: R/get_model_SVLevy_singlefactor.R
Description
Levy-driven Stochastic volatility model with single factor, as described by equations
(13) and (14) in Chopin, Jacob, Papaspiliopoulos (2013), and discussed in more detail
in Barndorff-Nielsen and Shephard (2002).
The states are Xt = (vt, zt).
Usage
1
2
get_model_SVLevy_singlefactor(timesteps, mu0mu = 0, sigma02mu = 10,
mu0beta = 0, sigma02beta = 10, r0xi = 1/5, r0w2 = 1/5, r0lambda = 1)
pierrejacob/bayeshscore documentation built on May 25, 2019, 11:35 p.m.
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View source: R/get_model_SVLevy_singlefactor.R
Description
Levy-driven Stochastic volatility model with single factor, as described by equations (13) and (14) in Chopin, Jacob, Papaspiliopoulos (2013), and discussed in more detail in Barndorff-Nielsen and Shephard (2002). The states are Xt = (vt, zt).
Usage
1 2 | get_model_SVLevy_singlefactor(timesteps, mu0mu = 0, sigma02mu = 10,
mu0beta = 0, sigma02beta = 10, r0xi = 1/5, r0w2 = 1/5, r0lambda = 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.
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