sdemodel

Specify transformation and re-parametrizations for reducible SDE model.

Maximum likelihood estimation for univariate reducible
stochastic differential equation models. Discrete, possibly noisy
observations, not necessarily evenly spaced in time. Can fit
multiple individuals/units with global and local parameters, by
fixed-effects or mixed-effects methods. Ref.: Garcia, O. (2019)
"Estimating reducible stochastic differential equations by
conversion to a least-squares problem", Computational Statistics
34(1): 23-46, <doi:10.1007/s00180-018-0837-4>.

Oscar Garcia

resde

Estimation in Reducible Stochastic Differential Equations

sdemodel function

<dl><dt>phi</dt>
<dd>Transformation formula \(y = \varphi(x, parameters)\).</dd>
<dt>phiprime</dt>
<dd>Optional formula for derivative of <code>phi</code>.</dd>
<dt>beta0, beta1</dt>
<dd>Optional formulas or constants, possibly giving a re-parameterization,.</dd>
<dt>t0, x0</dt>
<dd>Formulas or constants for the initial condition.</dd>
<dt>mu0</dt>
<dd>Formula or constant for the initial condition \(\sigma_0\) multiplier.</dd>
<dt>mup, mum</dt>
<dd>Formulas or constants for the process and measurement \(\sigma\) multipliers.</dd></dl>

Arguments

Model specification — sdemodel

<dl>

<dt>phi</dt>
<dd>Transformation formula \(y = \varphi(x, parameters)\).</dd>


<dt>phiprime</dt>
<dd>Optional formula for derivative of <code>phi</code>.</dd>


<dt>beta0, beta1</dt>
<dd>Optional formulas or constants, possibly giving a re-parameterization,.</dd>


<dt>t0, x0</dt>
<dd>Formulas or constants for the initial condition.</dd>


<dt>mu0</dt>
<dd>Formula or constant for the initial condition \(\sigma_0\) multiplier.</dd>


<dt>mup, mum</dt>
<dd>Formulas or constants for the process and measurement \(\sigma\) multipliers.</dd>

</dl>

sdemodel: Model specification

Description

Usage

Value

Arguments

Examples