Approximated conditional densities for \(X(t) | X(t_0) = x_0\) of a diffusion process.
dcShoji(x, t, x0, t0, theta, d, dx, dxx, dt, s, log=FALSE)
a numeric vector
vector of quantiles.
lag or time.
the value of the process at time t0; see details.
initial time.
parameter of the process; see details.
logical; if TRUE, probabilities \(p\) are given as \(\log(p)\).
drift coefficient as a function; see details.
partial derivative w.r.t. x of the
drift coefficient; see details.
second partial derivative w.r.t. x^2 of the
drift coefficient; see details.
partial derivative w.r.t. t of the
drift coefficient; see details.
diffusion coefficient as a function; see details.
Stefano Maria Iacus
This function returns the value of the conditional density of
\(X(t) | X(t_0) = x_0\) at point x.
All the functions d, dx, dxx, dt, and s
must be functions of t, x, and theta.
Shoji, L., Ozaki, T. (1998) Estimation for nonlinear stochastic differential equations by a local linearization method, Stochastic Analysis and Applications, 16, 733-752.