yuima.qmleLevy.incr-class: Class for Quasi Maximum Likelihood Estimation of Levy SDE...

In yuima: The YUIMA Project Package for SDEs

Class for Quasi Maximum Likelihood Estimation of Levy SDE model

Description

The yuima.qmleLevy.incr-class is a class of the yuima package that extends the mle-class of the stats4 package.

Slots

Incr.Lev:

is an object of class yuima.data-class that contains the estimated increments of the noise.

logL.Incr:

an numeric object that represents the value of the loglikelihood for the estimated Levy increments.

minusloglLevy:

an R function that evaluates the loglikelihood of the estimated Levy increments. The function is used internally in qmleLevy for the estimation of the Levy measure parameters.

Levydetails:

a list containing additional information about the optimization procedure in the estimation of the Levy measure parameters. See optim help for the meaning of the components of this list.

Data:

is an object of yuima.data-class containing observation data.

model:

is an object of of yuima.carma-class.

call:

is an object of class language.

coef:

is an object of class numeric that contains estimated parameters.

fullcoef:

is an object of class numeric that contains estimated and fixed parameters.

vcov:

is an object of class matrix.

min:

is an object of class numeric.

minuslogl:

is an object of class function.

nobs:

an object of class numeric.

method:

is an object of class character.

Methods

Methods mle

All methods for mle-class are available.

Author(s)

The YUIMA Project Team

yuima documentation built on Nov. 14, 2022, 3:02 p.m.