Class for the mathematical description of Compound Poisson processes

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Description

The yuima.poisson class is a class of the yuima package that extends the yuima.model-class.

Slots

drift:

always expression((0)).

diffusion:

a list of expression((0)).

hurst:

always h=0.5, but ignored for this model.

jump.coeff:

set according to scale in setPoisson.

measure:

a list containting the intensity measure and the jump distribution.

measure.type:

always "CP".

state.variable

a vector of names identifying the names used to denote the state variable in the drift and diffusion specifications.

parameter:

which is a short name for “parameters”, is an object of class model.parameter-class. For more details see model.parameter-class documentation page.

state.variable:

identifies the state variables in the R expression.

jump.variable:

identifies the variable for the jump coefficient.

time.variable:

the time variable.

noise.number:

denotes the number of sources of noise.

equation.number:

denotes the dimension of the stochastic differential equation.

dimension:

the dimensions of the parameter given in the parameter slot.

solve.variable:

identifies the variable with respect to which the stochastic differential equation has to be solved.

xinit:

contains the initial value of the stochastic differential equation.

J.flag:

wheather jump.coeff include jump.variable.

Methods

simulate

simulation method. For more information see simulate.

qmle

Quasi maximum likelihood estimation procedure. For more information see qmle.

Author(s)

The YUIMA Project Team

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