yuima (version 1.15.27)

aeMoment: Asymptotic Expansion - Moments

Description

Asymptotic Expansion - Moments

Usage

aeMoment(ae, m = 1, eps = 1, order = NULL)

Value

numeric.

Arguments

ae

an object of class yuima.ae-class.

m

integer. The moment order. In case of multidimensional processes, it is possible to compute cross-moments by providing a vector of the same length as the state variables.

eps

numeric. The intensity of the perturbation.

order

integer. The expansion order. If NULL (default), it uses the maximum order used in ae.

Examples

if (FALSE) {
# model
gbm <- setModel(drift = 'mu*x', diffusion = 'sigma*x', solve.variable = 'x')

# settings
xinit <- 100
par <- list(mu = 0.01, sigma = 0.2)
sampling <- setSampling(Initial = 0, Terminal = 1, n = 1000)

# asymptotic expansion
approx <- ae(model = gbm, sampling = sampling, order = 4, true.parameter = par, xinit = xinit)

# second moment, expansion order max
aeMoment(ae = approx, m = 2)

# second moment, expansion order 3
aeMoment(ae = approx, m = 2, order = 3)

# second moment, expansion order 2
aeMoment(ae = approx, m = 2, order = 2)

# second moment, expansion order 1
aeMoment(ae = approx, m = 2, order = 1)
}