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sde (version 2.0.9)
Simulation and Inference for Stochastic Differential Equations
Description
Companion package to the book Simulation and Inference for Stochastic Differential Equations With R Examples, ISBN 978-0-387-75838-1, Springer, NY.
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Install
install.packages('sde')
Monthly Downloads
3,706
Version
2.0.9
License
GPL (>= 2)
Maintainer
Stefano Gary King
Last Published
July 31st, 2009
Functions in sde (2.0.9)
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dcEuler
Approximated conditional law of a diffusion process
dcKessler
Approximated conditional law of a diffusion process by Kessler's method
linear.mart.ef
Linear martingale estimating function
MOdist
Markov Operator distance for clustering diffusion processes.
rcOU
Ornstein-Uhlenbeck or Vasicek process conditional law
HPloglik
Ait-Sahalia Hermite polynomial expansion approximation of the likelihood
dcSim
Pedersen's simulated transition density
cpoint
Volatility change-point estimator for diffusion processes
sde.sim
Simulation of stochastic differential equation
simple.ef2
Simple estimating function based on the infinitesimal generator a the diffusion process
ksmooth
Nonparametric invariant density, drift, and diffusion coefficient estimation
SIMloglik
Pedersen's approximation of the likelihood
dcShoji
Approximated conditional law of a diffusion process by the Shoji-Ozaki method
sdeDiv
Phi-Divergences test for diffusion processes
rcCIR
Conditional law of the Cox-Ingersoll-Ross process
BM
Brownian motion, Brownian bridge, and geometric Brownian motion simulators
rcBS
Black-Scholes-Merton or geometric Brownian motion process conditional law
dcElerian
Approximated conditional law of a diffusion process by Elerian's method
rsCIR
Cox-Ingersoll-Ross process stationary law
DBridge
Simulation of diffusion bridge
simple.ef
Simple estimating functions of types I and II
sdeAIC
Akaike's information criterion for diffusion processes
DWJ
Weekly closings of the Dow-Jones industrial average
gmm
Generalized method of moments estimator
quotes
Daily closings of 20 financial time series from 2006-01-03 to 2007-12-31
rsOU
Ornstein-Uhlenbeck or Vasicek process stationary law
dcOzaki
Approximated conditional law of a diffusion process by Ozaki's method
EULERloglik
Euler approximation of the likelihood