sde: Simulation and Inference for Stochastic Differential Equations

Companion package to the book Simulation and Inference for Stochastic Differential Equations With R Examples, ISBN 978-0-387-75838-1, Springer, NY.

AuthorStefano Maria Iacus
Date of publication2016-04-13 09:11:30
MaintainerStefano Maria Iacus <stefano.iacus@unimi.it>
LicenseGPL (>= 2)
Version2.0.15

View on R-Forge

Man pages

BM: Brownian motion, Brownian bridge, and geometric Brownian...

cpoint: Volatility change-point estimator for diffusion processes

DBridge: Simulation of diffusion bridge

dcElerian: Approximated conditional law of a diffusion process by...

dcEuler: Approximated conditional law of a diffusion process

dcKessler: Approximated conditional law of a diffusion process by...

dcOzaki: Approximated conditional law of a diffusion process by...

dcShoji: Approximated conditional law of a diffusion process by the...

dcSim: Pedersen's simulated transition density

DWJ: Weekly closings of the Dow-Jones industrial average

EULERloglik: Euler approximation of the likelihood

gmm: Generalized method of moments estimator

HPloglik: Ait-Sahalia Hermite polynomial expansion approximation of the...

ksmooth: Nonparametric invariant density, drift, and diffusion...

linear.mart.ef: Linear martingale estimating function

MOdist: Markov Operator distance for clustering diffusion processes.

quotes: Daily closings of 20 financial time series from 2006-01-03 to...

rcBS: Black-Scholes-Merton or geometric Brownian motion process...

rcCIR: Conditional law of the Cox-Ingersoll-Ross process

rcOU: Ornstein-Uhlenbeck or Vasicek process conditional law

rsCIR: Cox-Ingersoll-Ross process stationary law

rsOU: Ornstein-Uhlenbeck or Vasicek process stationary law

sdeAIC: Akaike's information criterion for diffusion processes

sdeDiv: Phi-Divergences test for diffusion processes

sde.sim: Simulation of stochastic differential equation

SIMloglik: Pedersen's approximation of the likelihood

simple.ef: Simple estimating functions of types I and II

simple.ef2: Simple estimating function based on the infinitesimal...

Files in this package

sde/DESCRIPTION
sde/NAMESPACE
sde/R
sde/R/BM.R sde/R/DBridge.R sde/R/MOdist.R sde/R/cpoint.R sde/R/dcApprox.R sde/R/dcSim.R sde/R/gmm.R sde/R/ksmooth.R sde/R/linear.mart.ef.R sde/R/loglik.R sde/R/rBS.R sde/R/rCIR.R sde/R/rOU.R sde/R/sde.sim.KPS.R sde/R/sde.sim.R sde/R/sde.sim.cdist.R sde/R/sde.sim.ea.R sde/R/sde.sim.euler.R sde/R/sde.sim.milstein.R sde/R/sde.sim.milstein2.R sde/R/sde.sim.ozaki.R sde/R/sde.sim.shoji.R sde/R/sdeAIC.R sde/R/sdeDiv.R sde/R/simple.ef.R sde/R/simple.ef2.R sde/R/zzz.R
sde/build
sde/build/vignette.rds
sde/data
sde/data/DWJ.rda
sde/data/quotes.rda
sde/inst
sde/inst/book
sde/inst/book/ch1.R
sde/inst/book/ch2.R
sde/inst/book/ch3.R
sde/inst/book/ch4.R
sde/inst/book/ex1.01.R
sde/inst/book/ex1.02.R
sde/inst/book/ex1.03.R
sde/inst/book/ex1.04.R
sde/inst/book/ex1.05.R
sde/inst/book/ex1.06.R
sde/inst/book/ex1.07.R
sde/inst/book/ex1.08.R
sde/inst/book/ex1.09.R
sde/inst/book/ex1.10.R
sde/inst/book/ex1.11.R
sde/inst/book/ex1.12.R
sde/inst/book/ex1.13.R
sde/inst/book/ex1.14.R
sde/inst/book/ex1.15.R
sde/inst/book/ex2.01.R
sde/inst/book/ex2.02.R
sde/inst/book/ex2.03.R
sde/inst/book/ex2.04.R
sde/inst/book/ex2.05.R
sde/inst/book/ex2.06.R
sde/inst/book/ex2.07.R
sde/inst/book/ex2.08.R
sde/inst/book/ex2.09.R
sde/inst/book/ex2.10.R
sde/inst/book/ex2.11.R
sde/inst/book/ex2.12.R
sde/inst/book/ex2.13.R
sde/inst/book/ex2.14.R
sde/inst/book/ex2.15.R
sde/inst/book/ex2.16.R
sde/inst/book/ex2.17.R
sde/inst/book/ex2.18.R
sde/inst/book/ex3.01.R
sde/inst/book/ex3.02.R
sde/inst/book/ex3.03.R
sde/inst/book/ex3.04.R
sde/inst/book/ex3.05.R
sde/inst/book/ex3.06.R
sde/inst/book/ex3.07.R
sde/inst/book/ex3.08.R
sde/inst/book/ex3.09.R
sde/inst/book/ex3.10.R
sde/inst/book/ex3.11.R
sde/inst/book/ex3.12.R
sde/inst/book/ex3.13.R
sde/inst/book/ex3.14.R
sde/inst/book/ex3.15.R
sde/inst/book/ex3.16.R
sde/inst/book/ex4.01.R
sde/inst/book/ex4.02.R
sde/inst/book/ex4.03.R
sde/inst/book/ex4.04.R
sde/inst/book/ex4.05.R
sde/inst/book/ex4.06.R
sde/inst/book/ex4.07.R
sde/inst/doc
sde/inst/doc/changes.txt
sde/inst/doc/sde.errata.Rnw
sde/inst/doc/sde.errata.pdf
sde/man
sde/man/BM.Rd sde/man/DBridge.Rd sde/man/DWJ.Rd sde/man/EULERloglik.Rd sde/man/HPloglik.Rd sde/man/MOdist.Rd sde/man/SIMloglik.Rd sde/man/cpoint.Rd sde/man/dcElerian.Rd sde/man/dcEuler.Rd sde/man/dcKessler.Rd sde/man/dcOzaki.Rd sde/man/dcShoji.Rd sde/man/dcSim.Rd sde/man/gmm.Rd sde/man/ksmooth.Rd sde/man/linear.mart.ef.Rd sde/man/quotes.Rd sde/man/rcBS.Rd sde/man/rcCIR.Rd sde/man/rcOU.Rd sde/man/rsCIR.Rd sde/man/rsOU.Rd sde/man/sde.sim.Rd sde/man/sdeAIC.Rd sde/man/sdeDiv.Rd sde/man/simple.ef.Rd sde/man/simple.ef2.Rd
sde/src
sde/src/sde.sim.c
sde/vignettes
sde/vignettes/sde.errata.Rnw

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.