msde (version 1.0.5)

sde.diff: SDE diffusion function.

Description

Computes the SDE model's diffusion function given data and parameter values.

Usage

sde.diff(model, x, theta)

Arguments

model

An sde.model object.

x

A vector or matrix of data with ndims columns.

theta

A vector or matrix of parameters with nparams columns.

Value

A matrix with ndims^2 columns containing the diffusion function evaluated at x and theta. Each row corresponds to the upper triangular Cholesky factor of the diffusion matrix. If either input contains invalid SDE data or parameters an error is thrown.

Examples

# NOT RUN {
# load Heston's model
hmod <- sde.examples("hest")
#'
# single input
theta <- c(alpha = 0.1, gamma = 1, beta = 0.8, sigma = 0.6, rho = -0.8)
x0 <- c(X = log(1000), Z = 0.1)
sde.diff(model = hmod, x = x0, theta = theta)
#'
# multiple inputs
nreps <- 10
Theta <- apply(t(replicate(nreps, theta)), 2, jitter)
X0 <- apply(t(replicate(nreps, x0)), 2, jitter)
sde.diff(model = hmod, x = X0, theta = Theta)
#'
# mixed inputs
sde.diff(model = hmod, x = x0, theta = Theta)
# }