aeCharacteristic | R Documentation |
Asymptotic Expansion - Characteristic Function
aeCharacteristic(..., ae, eps = 1, order = NULL)
... |
named argument, data.frame, list, or environment specifying the grid to evaluate the characteristic function. See examples. |
ae |
an object of class |
eps |
numeric. The intensity of the perturbation. |
order |
integer. The expansion order. If |
Characteristic function evaluated on the given grid.
## Not run: # model gbm <- setModel(drift = 'mu*x', diffusion = 'sigma*x', solve.variable = 'x') # settings xinit <- 100 par <- list(mu = 0.01, sigma = 0.2) sampling <- setSampling(Initial = 0, Terminal = 1, n = 1000) # asymptotic expansion approx <- ae(model = gbm, sampling = sampling, order = 4, true.parameter = par, xinit = xinit) # The following are all equivalent methods to specify the grid via .... # Notice that the character 'u1' corresponds to the 'u.var' of the ae object. approx@u.var # 1) named argument u1 <- seq(0, 1, by = 0.1) psi <- aeCharacteristic(u1 = u1, ae = approx, order = 4) # 2) data frame df <- data.frame(u1 = seq(0, 1, by = 0.1)) psi <- aeCharacteristic(df, ae = approx, order = 4) # 3) environment env <- new.env() env$u1 <- seq(0, 1, by = 0.1) psi <- aeCharacteristic(env, ae = approx, order = 4) # 4) list lst <- list(u1 = seq(0, 1, by = 0.1)) psi <- aeCharacteristic(lst, ae = approx, order = 4) ## End(Not run)
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