Simulation and Inference for Stochastic Differential Equations

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... |

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