dcShoji | R Documentation |
Approximated conditional densities for X(t) | X(t0) = x0 of a diffusion process.
dcShoji(x, t, x0, t0, theta, d, dx, dxx, dt, s, log=FALSE)
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 w.r.t. |
dt |
partial derivative w.r.t. |
s |
diffusion coefficient as a function; see details. |
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
, and s
must be functions of t
, x
, and theta
.
x |
a numeric vector |
Stefano Maria Iacus
Shoji, L., Ozaki, T. (1998) Estimation for nonlinear stochastic differential equations by a local linearization method, Stochastic Analysis and Applications, 16, 733-752.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.