layeredBB-package: Simulates layered Brownian bridges using C++ and Rcpp
In rchan26/layeredBB: Simulates layered Brownian bridges using C++ and Rcpp
layeredBB-package R Documentation
Simulates layered Brownian bridges using C++ and Rcpp
Description
R access to C++ implementation of layered Brownian Bridge simulation and Bessel layer simulation.
Details
This package includes functions to simulated layered Brownian bridges using Bessel layers. See Pollock et al. (2016) and Pollock (2013) for more details on simulating Bessel layers using Cauchy sums.
Author(s)
Ryan Chan, rchan@turing.ac.uk.
References
M. Pollock. Some Monte Carlo Methods for Jump Diffusions. PhD thesis, University of Warwick, September 2013.
M.Pollock, A.M. Johansen, G.O. Roberts. 2016. On the Exact and epsilon-Strong Simulation of (Jump) Diffusions. Bernoulli. 22(2), pp. 794-856.
Beskos, A., Papaspiliopoulos, O., Roberts, G.O., and Fearnhead, P. 2006. Exact and computationally effcient likelihood-based estimation for discretely observed diffusion processes (with discussion). Journal of Royal Statistical Society, B. 68, pp. 333-382.
rchan26/layeredBB documentation built on March 25, 2022, 3:44 a.m.
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| layeredBB-package | R Documentation |
Simulates layered Brownian bridges using C++ and Rcpp
Description
R access to C++ implementation of layered Brownian Bridge simulation and Bessel layer simulation.
Details
This package includes functions to simulated layered Brownian bridges using Bessel layers. See Pollock et al. (2016) and Pollock (2013) for more details on simulating Bessel layers using Cauchy sums.
Author(s)
Ryan Chan, rchan@turing.ac.uk.
References
M. Pollock. Some Monte Carlo Methods for Jump Diffusions. PhD thesis, University of Warwick, September 2013.
M.Pollock, A.M. Johansen, G.O. Roberts. 2016. On the Exact and epsilon-Strong Simulation of (Jump) Diffusions. Bernoulli. 22(2), pp. 794-856.
Beskos, A., Papaspiliopoulos, O., Roberts, G.O., and Fearnhead, P. 2006. Exact and computationally effcient likelihood-based estimation for discretely observed diffusion processes (with discussion). Journal of Royal Statistical Society, B. 68, pp. 333-382.
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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