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sde (version 2.0.18)
Simulation and Inference for Stochastic Differential Equations
Description
Companion package to the book Simulation and Inference for Stochastic Differential Equations With R Examples, ISBN 978-0-387-75838-1, Springer, NY.
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Install
install.packages('sde')
Monthly Downloads
3,168
Version
2.0.18
License
GPL (>= 2)
Maintainer
Stefano M. Iacus
Last Published
August 9th, 2022
Functions in sde (2.0.18)
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DBridge
Simulation of diffusion bridge
rcCIR
Conditional law of the Cox-Ingersoll-Ross process
rcBS
Black-Scholes-Merton or geometric Brownian motion process conditional law
gmm
Generalized method of moments estimator
ksmooth
Nonparametric invariant density, drift, and diffusion coefficient estimation
quotes
Daily closings of 20 financial time series from 2006-01-03 to 2007-12-31
simple.ef
Simple estimating functions of types I and II
linear.mart.ef
Linear martingale estimating function
simple.ef2
Simple estimating function based on the infinitesimal generator a the diffusion process
sde.sim
Simulation of stochastic differential equation
rsOU
Ornstein-Uhlenbeck or Vasicek process stationary law
dcSim
Pedersen's simulated transition density
dcKessler
Approximated conditional law of a diffusion process by Kessler's method
dcShoji
Approximated conditional law of a diffusion process by the Shoji-Ozaki method
rsCIR
Cox-Ingersoll-Ross process stationary law
sdeAIC
Akaike's information criterion for diffusion processes
sdeDiv
Phi-Divergences test for diffusion processes
rcOU
Ornstein-Uhlenbeck or Vasicek process conditional law
dcOzaki
Approximated conditional law of a diffusion process by Ozaki's method
BM
Brownian motion, Brownian bridge, and geometric Brownian motion simulators
SIMloglik
Pedersen's approximation of the likelihood
EULERloglik
Euler approximation of the likelihood
HPloglik
Ait-Sahalia Hermite polynomial expansion approximation of the likelihood
DWJ
Weekly closings of the Dow-Jones industrial average
dcElerian
Approximated conditional law of a diffusion process by Elerian's method
cpoint
Volatility change-point estimator for diffusion processes
dcEuler
Approximated conditional law of a diffusion process
MOdist
Markov Operator distance for clustering diffusion processes.