aeMoment | R Documentation |
Asymptotic Expansion - Moments
aeMoment(ae, m = 1, eps = 1, order = NULL)
ae |
an object of class |
m |
integer. The moment order. In case of multidimensional processes, it is possible to compute cross-moments by providing a vector of the same length as the state variables. |
eps |
numeric. The intensity of the perturbation. |
order |
integer. The expansion order. If |
numeric.
## 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) # second moment, expansion order max aeMoment(ae = approx, m = 2) # second moment, expansion order 3 aeMoment(ae = approx, m = 2, order = 3) # second moment, expansion order 2 aeMoment(ae = approx, m = 2, order = 2) # second moment, expansion order 1 aeMoment(ae = approx, m = 2, order = 1) ## End(Not run)
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