smd: Sparse Multivariate Diffusions
Version 0.2

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

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AuthorNina Munkholt, Niels Richard Hansen
Date of publicationNone
MaintainerNina Munkholt <nina.m@math.ku.dk>
LicenseGPL (>= 2)
Version0.2
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("smd", repos="http://R-Forge.R-project.org")

Man pages

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

Functions

GNcoordinateDescent Source code
GNcoordinateDescentMod Source code
MultDiffModel-class Man page
OUEulerScheme Source code
OUModel-class Man page
ObsoleteCoordinateDescent Source code
condMeanVar Man page
condMeanVar,OUModel-method Man page
coordinateDescent Source code
getData Man page
getData,MultDiffModel-method Man page
getParameters Man page
getParameters,MultDiffModel-method Man page
getSufficientStat Man page
getSufficientStat,MultDiffmodel-method Man page
gradient Man page
gradient,OUModel-method Man page
loss Man page
loss,MultDiffModel-method Man page
parToList Man page
parToList,OUModel-method Man page
parToNumeric Man page
parToNumeric,OUModel-method Man page
smd Man page
smd-package Man page
validateParameters Man page
validateParameters,OUModel-method Man page

Files

R
R/OUModel.R
R/MultDiffModel.R
R/AllGeneric.R
R/Simulation.R
R/Optimization.R
NAMESPACE
DESCRIPTION
man
man/smd-package.Rd
man/MultDiffModel-class.Rd
man/condMeanVar.Rd
man/OUModel-class.Rd
src
src/Makevars
src/OUEulerScheme.cpp
src/Makevars.win
smd documentation built on May 21, 2017, 3:30 a.m.