Approximated conditional densities for X(t) | X(t0) = x0 of a diffusion process.
1 2 |
x |
vector of quantiles. |
t |
lag or time. |
x0 |
the value of the process at time |
t0 |
initial time. |
theta |
parameter of the process; see details. |
log |
logical; if TRUE, probabilities p are given as log(p). |
d |
drift coefficient as a function; see details. |
dx |
partial derivative w.r.t. |
dxx |
second partial derivative wrt |
s |
diffusion coefficient as a function; see details. |
sx |
partial derivative w.r.t. |
sxx |
second partial derivative w.r.t. |
This function returns the value of the conditional density of
X(t) | X(t0) = x0 at point x
.
All the functions d
, dx
, dxx
, dt
, s
, sx
,
and sxx
must be functions of t
, x
, and theta
.
x |
a numeric vector |
Stefano Maria Iacus
Kessler, M. (1997) Estimation of an ergodic diffusion from discrete observations, Scand. J. Statist., 24, 211-229.
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