yuima.cogarch-class {yuima}

Class for the mathematical description of CoGarch(p,q) model

Description

The yuima.cogarch class is a class of the yuima package that extends the yuima.model-class.

Objects from the Class

Objects can be created by calls of the function setCogarch.

Slots

info:

is an cogarch.info-class object that describes the structure of the Cogarch(p,q) model.

drift:

is an R expression which specifies the drift coefficient (a vector).

diffusion:

is an R expression which specifies the diffusion coefficient (a matrix).

hurst:

the Hurst parameter of the gaussian noise.

jump.coeff:

a vector of "expressions" for the jump component.

measure:

Levy measure for the jump component.

measure.type:

Type of specification for Levy measure

parameter:

is an object of class model.parameter-class.

state.variable:

the state variable.

jump.variable:

the jump variable.

time.variable:

the time variable.

noise.number:

Object of class "numeric"

equation.number:

dimension of the stochastic differential equation.

dimension:

number of parameters.

solve.variable:

the solve variable

xinit:

Object of class "expression" that contains the starting function for the SDE.

J.flag:

wheather jump.coeff include jump.variable.

Extends

Class "yuima.model", directly.

Methods

simulate

simulation method. For more information see simulate

toLatex

This method converts an object of yuima.cogarch-class to character vectors with LaTeX markup.

qmle

Quasi maximum likelihood estimation procedure. For more information see qmle.

Author(s)

The YUIMA Project Team