sde.init {msde} | R Documentation |
Specifies the observed SDE data, interobservation times, initial parameter and missing data values to be supplied to sde.post
.
sde.init(model, x, dt, m = 1, nvar.obs, theta)
model |
An |
x |
An |
dt |
A scalar or length |
m |
Positive integer, such that |
nvar.obs |
A scalar or length |
theta |
A length |
An sde.init
object, corresponding to a list with elements:
data
An ncomp x ndims
matrix of complete data, where ncomp = N_m = m * (nobs-1)+1
.
dt.m
The complete data interobservation time, dt_m = dt/m
.
nvar.obs.m
The number of variables observed per row of data
. Note that nvar.obs.m[(i-1)*m+1] == nvar.obs[ii]
, and that nvar.obs.m[i-1] == 0
if i
is not a multiple of m
.
params
Parameter initial values.
# load Heston's model hmod <- sde.examples("hest") # generate some observed data nObs <- 5 x0 <- c(X = log(1000), Z = 0.1) X0 <- apply(t(replicate(nObs, x0)), 2, jitter) dT <- .6 theta <- c(alpha = 0.1, gamma = 1, beta = 0.8, sigma = 0.6, rho = -0.8) # no missing data sde.init(model = hmod, x = X0, dt = dT, theta = theta) # all but endpoint volatilities are missing sde.init(model = hmod, x = X0, dt = dT, m = 1, nvar.obs = c(2, rep(1, nObs-2), 2), theta = theta) # all volatilities missing, # two completely missing SDE timepoints between observations m <- 3 # divide each observation interval into m equally spaced timepoints sde.init(model = hmod, x = X0, dt = dT, m = m, nvar.obs = 1, theta = theta)