aeMoment {yuima} | R Documentation |
Asymptotic Expansion - Moments
Description
Asymptotic Expansion - Moments
Usage
aeMoment(ae, m = 1, eps = 1, order = NULL)
Arguments
ae |
an object of 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 |
Value
numeric.
Examples
## Not run:
# 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)
## End(Not run)
[Package yuima version 1.15.27 Index]