gmm
(Package: sde) :
Generalized method of moments estimator
Implementation of the estimator of the generalized method of moments by Hansen.
● Data Source:
CranContrib
● Keywords: ts
● Alias: gmm
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HPloglik
(Package: sde) :
Ait-Sahalia Hermite polynomial expansion approximation
Ait-Sahalia Hermite polynomial expansion and Euler approximation of the likelihood of a process solution of a stochastic differential equation. These functions are useful to calculate approximated maximum likelihood estimators when the transition density of the process is not known.
● Data Source:
CranContrib
● Keywords: ts
● Alias: HPloglik
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0 images
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ksmooth
(Package: sde) :
Nonparametric invariant density, drift, and diffusion coefficient estimation
Implementation of simple Nadaraya-Watson nonparametric estimation of drift and diffusion coefficient, and plain kernel density estimation of the invariant density for a one-dimensional diffusion process.
● Data Source:
CranContrib
● Keywords: datagen, ts
● Alias: ksdens, ksdiff, ksdrift
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0 images
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dcShoji
(Package: sde) :
Approximated conditional law of a diffusion process by the Shoji-Ozaki method
Approximated conditional densities for X(t) | X(t0) = x0 of a diffusion process.
● Data Source:
CranContrib
● Keywords: datagen, ts
● Alias: dcShoji
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0 images
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DBridge
(Package: sde) :
Simulation of diffusion bridge
Simulation of diffusion bridge.
● Data Source:
CranContrib
● Keywords: datagen, ts
● Alias: DBridge
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0 images
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rcBS
(Package: sde) :
Black-Scholes-Merton or geometric Brownian motion process conditional law
Density, distribution function, quantile function, and random generation for the conditional law X(t) | X(0) = x0 of the Black-Scholes-Merton process also known as the geometric Brownian motion process.
● Data Source:
CranContrib
● Keywords: datagen, ts
● Alias: dcBS, pcBS, qcBS, rcBS
●
0 images
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sdeDiv
(Package: sde) :
Phi-Divergences test for diffusion processes
Phi-Divergences test for diffusion processes.
● Data Source:
CranContrib
● Keywords: ts
● Alias: sdeDiv
●
0 images
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sde.sim
(Package: sde) :
Simulation of stochastic differential equation
Generic interface to different methods of simulation of solutions to stochastic differential equations.
● Data Source:
CranContrib
● Keywords: datagen, ts
● Alias: sde.sim
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0 images
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linear.mart.ef
(Package: sde) :
Linear martingale estimating function
Apply a linear martingale estimating function to find estimates of the parameters of a process solution of a stochastic differential equation.
● Data Source:
CranContrib
● Keywords: ts
● Alias: linear.mart.ef
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0 images
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MOdist
(Package: sde) :
Markov Operator distance for clustering diffusion processes.
Markov Operator distance for clustering diffusion processes.
● Data Source:
CranContrib
● Keywords: datagen, ts
● Alias: MOdist
●
0 images
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