yuima (version 1.0.81)

limiting.gamma: calculate the value of limiting covariance matrices : Gamma

Description

To confirm assysmptotic normality of theta estimators.

Usage

limiting.gamma(obj,theta,verbose=FALSE)

Arguments

obj

an yuima or yuima.model object.

theta

true theta

verbose

an option for display a verbose process.

Value

• gamma1
  a theoretical figure for variance of theta1 estimator
• gamma2
  a theoretical figure for variance of theta2 estimator

Details

Calculate the value of limiting covariance matrices Gamma. The returned values gamma1 and gamma2 are used to confirm assysmptotic normality of theta estimators. this program is limitted to 1-dimention-sde model for now.

Examples

set.seed(123)

## Yuima
diff.matrix <- matrix(c("theta1"), 1, 1)
myModel <- setModel(drift=c("(-1)*theta2*x"), diffusion=diff.matrix, 
time.variable="t", state.variable="x")
n <- 100
mySampling <- setSampling(Terminal=(n)^(1/3), n=n)
myYuima <- setYuima(model=myModel, sampling=mySampling)
myYuima <- simulate(myYuima, xinit=1, true.parameter=list(theta1=0.6, theta2=0.3))

## theorical figure of theta
theta1 <- 3.5
theta2 <- 1.3

theta <- list(theta1, theta2)
lim.gamma <- limiting.gamma(obj=myYuima, theta=theta, verbose=TRUE)

## return theta1 and theta2 with list
lim.gamma$list

## return theta1 and theta2 with vector
lim.gamma$vec