yuima (version 1.15.2)

qmleLevy: Gaussian quasi-likelihood estimation for Levy driven SDE

Description

Calculate the Gaussian quasi-likelihood and Gaussian quasi-likelihood estimators of Levy driven SDE.

Usage

qmleLevy(yuima, start, lower, upper, joint = FALSE, 
third = FALSE, Est.Incr = "NoIncr", 
aggregation = TRUE)

Arguments

yuima

a yuima object.

lower

a named list for specifying lower bounds of parameters.

upper

a named list for specifying upper bounds of parameters.

start

initial values to be passed to the optimizer.

joint

perform joint estimation or two stage estimation, by default joint=FALSE. If there exists an overlapping parameter, joint=TRUE does not work for the theoretical reason

third

perform third estimation by default third=FALSE. If there exists an overlapping parameter, third=TRUE does not work for the theoretical reason.

Est.Incr

the qmleLevy returns an object of mle-clas, by default Est.Incr="NoIncr", other options as "Inc" or "IncrPar".

aggregation

If aggregation=TRUE, the function returns the unit-time Levy increments. If Est.Incr="IncrPar", the function estimates Levy parameters using the unit-time Levy increments.

Value

first

estimated values of first estimation (scale parameters)

second

estimated values of second estimation (drift parameters)

third

estimated values of third estimation (scale parameters)

Details

This function performs Gaussian quasi-likelihood estimation for Levy driven SDE.

References

Masuda, H. (2013). Convergence of Gaussian quasi-likelihood random fields for ergodic Levy driven SDE observed at high frequency. The Annals of Statistics, 41(3), 1593-1641.

Masuda, H. and Uehara, Y. (2017). On stepwise estimation of Levy driven stochastic differential equation (Japanese) ., Proc. Inst. Statist. Math., accepted.

Examples

# NOT RUN {
## One-dimensional case 
dri<-"-theta0*x" ## set drift
jum<-"theta1/(1+x^2)^(-1/2)" ## set jump
yuima<-setModel(drift = dri
                ,jump.coeff = jum
                ,solve.variable = "x",state.variable = "x"
                ,measure.type = "code"
                ,measure = list(df="rbgamma(z,1,sqrt(2),1,sqrt(2))")) ## set true model
n<-3000
T<-30 ## terminal
hn<-T/n ## stepsize

sam<-setSampling(Terminal = T, n=n) ## set sampling scheme
yuima<-setYuima(model = yuima, sampling = sam) ## model

true<-list(theta0 = 1,theta1 = 2) ## true values
upper<-list(theta0 = 4, theta1 = 4) ## set upper bound
lower<-list(theta0 = 0.5, theta1 = 1) ## set lower bound
set.seed(123)
yuima<-simulate(yuima, xinit = 0, true.parameter = true,sampling = sam) ## generate a path
start<-list(theta0 = runif(1,0.5,4), theta1 = runif(1,1,4)) ## set initial values
qmleLevy(yuima,start=start,lower=lower,upper=upper, joint = TRUE) 

## Multi-dimensional case

lambda<-1/2
alpha<-1
beta<-c(0,0)
mu<-c(0,0)
Lambda<-matrix(c(1,0,0,1),2,2) ## set parameters in noise

dri<-c("1-theta0*x1-x2","-theta1*x2")
jum<-matrix(c("x1*theta2+1","0","0","1"),2,2) ## set coefficients

yuima <- setModel(drift=dri, 
                 solve.variable=c("x1","x2"),state.variable = c("x1","x2"), 
                 jump.coeff=jum, measure.type="code",
                 measure=list(df="rvgamma(z, lambda, alpha, beta, mu, Lambda
                 )"))

n<-3000 ## the number of total samples
T<-30 ## terminal
hn<-T/n ## stepsize

sam<-setSampling(Terminal = T, n=n) ## set sampling scheme
yuima<-setYuima(model = yuima, sampling = sam) ## model

true<-list(theta0 = 1,theta1 = 2,theta2 = 3,lambda=lambda, alpha=alpha, 
beta=beta,mu=mu, Lambda=Lambda) ## true values
upper<-list(theta0 = 4, theta1 = 4, theta2 = 5, lambda=lambda, alpha=alpha, 
beta=beta,mu=mu, Lambda=Lambda) ## set upper bound
lower<-list(theta0 = 0.5, theta1 = 1, theta2 = 1, lambda=lambda, alpha=alpha, 
beta=beta,mu=mu, Lambda=Lambda) ## set lower bound
set.seed(123)
yuima<-simulate(yuima, xinit = c(0,0), true.parameter = true,sampling = sam) ## generate a path
plot(yuima)
start<-list(theta0 = runif(1,0.5,4), theta1 = runif(1,1,4), 
theta2 = runif(1,1,5),lambda=lambda, alpha=alpha, 
beta=beta,mu=mu, Lambda=Lambda) ## set initial values
qmleLevy(yuima,start=start,lower=lower,upper=upper,joint = FALSE,third=TRUE) 
# }