sde: Simulation and Inference for Stochastic Differential Equations

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

Author
Stefano Maria Iacus
Date of publication
2016-04-13 09:11:30
Maintainer
Stefano Maria Iacus <stefano.iacus@unimi.it>
License
GPL (>= 2)
Version
2.0.15

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