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 <>
LicenseGPL (>= 2)

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...


BBridge Man page
BM Man page
cpoint Man page
DBridge Man page
dcBS Man page
dcCIR Man page
dcElerian Man page
dcEuler Man page
dcKessler Man page
dcOU Man page
dcOzaki Man page
dcShoji Man page
dcSim Man page
dsCIR Man page
dsOU Man page
DWJ Man page
EULERloglik Man page
GBM Man page
gmm Man page
HPloglik Man page
ksdens Man page
ksdiff Man page
ksdrift Man page
linear.mart.ef Man page
MOdist Man page
pcBS Man page
pcCIR Man page
pcOU Man page
psCIR Man page
psOU Man page
qcBS Man page
qcCIR Man page
qcOU Man page
qsCIR Man page
qsOU Man page
quotes Man page
rcBS Man page
rcCIR Man page
rcOU Man page
rsCIR Man page
rsOU Man page
sdeAIC Man page
sdeDiv Man page
sde.sim Man page
SIMloglik Man page
simple.ef Man page
simple.ef2 Man page


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

Questions? Problems? Suggestions? or email at

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

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