smd: Sparse Multivariate Diffusions

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Estimation of high dimensional, discretely observed diffusions assuming a sparse representation of the drift term.

Author
Nina Munkholt, Niels Richard Hansen
Date of publication
None
Maintainer
Nina Munkholt <nina.m@math.ku.dk>
License
GPL (>= 2)
Version
0.2

View on R-Forge

Man pages

condMeanVar
Conditional Mean and Variance
MultDiffModel-class
Class "MultDiffModel"
OUModel-class
Class "OUModel"
smd-package
Sparse Multivariate Diffusions

Files in this package

smd
smd/R
smd/R/OUModel.R
smd/R/MultDiffModel.R
smd/R/AllGeneric.R
smd/R/Simulation.R
smd/R/Optimization.R
smd/NAMESPACE
smd/DESCRIPTION
smd/man
smd/man/smd-package.Rd
smd/man/MultDiffModel-class.Rd
smd/man/condMeanVar.Rd
smd/man/OUModel-class.Rd
smd/src
smd/src/Makevars
smd/src/OUEulerScheme.cpp
smd/src/Makevars.win