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BaPreStoPro (version 0.1)

Bayesian Prediction of Stochastic Processes

Description

Bayesian estimation and prediction for stochastic processes based on the Euler approximation. Considered processes are: jump diffusion, (mixed) diffusion models, hidden (mixed) diffusion models, non-homogeneous Poisson processes (NHPP), (mixed) regression models for comparison and a regression model including a NHPP.

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Version

Install

install.packages('BaPreStoPro')

Monthly Downloads

18

Version

0.1

License

GPL (>= 2)

Maintainer

Simone Hermann

Last Published

June 7th, 2016

Functions in BaPreStoPro (0.1)

diagnostic

Calculation of a proposal for burn-in phase and thinning rate
estimate,hiddenmixedDiffusion-method

Estimation for hierarchical (mixed) hidden diffusion process
estimate,jumpDiffusion-method

Estimation for jump diffusion process
estimate,hiddenDiffusion-method

Estimation for hidden diffusion process
Diffusion-class

S4 class of model informations for diffusion process
estimate,Diffusion-method

Estimation for diffusion process
dNtoTimes

Transformation of NHPP variables to event times
BaPreStoPro-package

Bayesian Prediction of Stochastic Processes
ad.propSd

Adaptation of proposal standard deviation
class.to.list

Builds a list from class object
InvMethod

Inversion Method
estimate,mixedDiffusion-method

Estimation for hierarchical (mixed) diffusion model
estimate,Merton-method

Estimation for jump diffusion process
estimate

Bayesian estimation
hiddenDiffusion-class

S4 class of model informations for hidden diffusion process
estimate,NHPP-method

Estimation for a non-homogeneous Poisson process
estimate,mixedRegression-method

Estimation for the hierarchical (mixed) regression model
estimate,jumpRegression-method

Estimation for regression model dependent on Poisson process
estimate,Regression-method

Estimation for regression model
hiddenmixedDiffusion-class

S4 class of model informations for hierarchical (mixed) hidden diffusion process
mixedRegression-class

S4 class of model informations for the hierarchical (mixed) regression model
mixedDiffusion-class

S4 class of model informations for hierarchical (mixed) diffusion process model
plot,est.hiddenmixedDiffusion-method

Plot method for the Bayesian estimation results
Merton-class

S4 class of model informations for a special jump diffusion process, called Merton model
plot,est.hiddenDiffusion-method

Plot method for the Bayesian estimation results
jumpDiffusion-class

S4 class of model informations for the jump diffusion process
plot,est.Diffusion-method

Plot method for the Bayesian estimation results
NHPP-class

S4 class of model informations for non-homogeneous Poisson process
jumpRegression-class

S4 class of model informations for the jump regression model
plot,est.jumpDiffusion-method

Plot method for the Bayesian estimation results
plot,est.mixedDiffusion-method

Plot method for the Bayesian estimation results
plot,est.mixedRegression-method

Plot method for the Bayesian estimation results
predict,est.Diffusion-method

Prediction for a diffusion process
plot,est.Regression-method

Plot method for the Bayesian estimation results
predict,est.hiddenDiffusion-method

Prediction for a hidden diffusion process
plot,est.NHPP-method

Plot method for the Bayesian estimation results
predict,est.hiddenmixedDiffusion-method

Prediction for a hierarchical (mixed) hidden diffusion process model
plot,est.jumpRegression-method

Plot method for the Bayesian estimation results
plot,est.Merton-method

Plot method for the Bayesian estimation results
pred.base

Bayesian prediction function
predict,est.NHPP-method

Prediction for a non-homogeneous Poisson process
predict,est.mixedRegression-method

Prediction for a mixed regression model
proposal

Sampling from lognormal proposal density
proposalRatio

Proposal ratio of lognormal proposal density
predict,est.jumpDiffusion-method

Prediction for a jump diffusion process
predict,est.mixedDiffusion-method

Prediction for a hierarchical (mixed) diffusion process model
predict,est.Merton-method

Prediction for a jump diffusion process
predict,est.jumpRegression-method

Prediction for a regression model dependent on a Poisson process
predict,est.Regression-method

Prediction for a regression model
prediction.intervals

Bayesian prediction interval function
set.to.class

Building of model classes
simulate,hiddenDiffusion-method

Simulation of hidden diffusion process
simulate,Diffusion-method

Simulation of diffusion process
simulate,jumpRegression-method

Simulation of regression model dependent on Poisson process
simulate,jumpDiffusion-method

Simulation of jump diffusion process
simulate,hiddenmixedDiffusion-method

Simulation of hierarchical (mixed) hidden diffusion model
simulate,Merton-method

Simulation of jump diffusion process
Regression-class

S4 class of model informations for the regression model
simulate,mixedDiffusion-method

Simulation of hierarchical (mixed) diffusion model
RejSampling

Rejection Sampling Algorithm
simulate,Regression-method

Simulation of regression model
TimestoN

Transformation of event times to NHPP
Virkler

Crack Growth
simulate,NHPP-method

Simulation of Poisson process
simulate,mixedRegression-method

Simulation of hierarchical (mixed) regression model