BaPreStoPro (version 0.1)

hiddenDiffusion-class: S4 class of model informations for hidden diffusion process

Description

Informations of model $Z_i = Y_{t_i} + \epsilon_i, dY_t = b(\phi,t,Y_t)dt + \gamma \widetilde{s}(t,Y_t)dW_t, \epsilon_i\sim N(0,\sigma^2), Y_{t_0}=y_0(\phi, t_0)$.

Slots

phi

parameter $\phi$

gamma2

parameter $\gamma^2$

sigma2

parameter $\sigma^2$

y0.fun

function $y_0(\phi, t)$

b.fun

function $b(\phi,t,y)$

sT.fun

function $\widetilde{s}(t,y)$

prior

list of prior parameters

start

list of starting values for the Metropolis within Gibbs sampler

Examples

parameter <- list(phi = c(2, 1), gamma2 = 0.1, sigma2 = 0.1)
b.fun <- function(phi, t, y) phi[1] * y
sT.fun <- function(t, y) y
y0.fun <- function(phi, t) phi[2]
start <- parameter
prior <- list(m.phi = parameter$phi, v.phi = parameter$phi^2, alpha.gamma = 3,
   beta.gamma = parameter$gamma2*2, alpha.sigma=3, beta.sigma=parameter$sigma2*2)
model <- set.to.class("hiddenDiffusion", parameter, prior, start,
  b.fun = b.fun, sT.fun = sT.fun, y0.fun = y0.fun)