yuima.linear_state_space_model-class {yuima} | R Documentation |
Class for the Mathematical Description of Linear State Space Models
Description
The yuima.linear_state_space_model
class is a class in the yuima package
for the mathematical description and simulation of linear state space models.
Slots
drift
:An R expression specifying the drift coefficient (a vector).
diffusion
:An R expression specifying the diffusion coefficient (a matrix).
hurst
:The Hurst parameter of the Gaussian noise. If
hurst=0.5
, the process is a Wiener process; otherwise, it is fractional Brownian motion with the specified Hurst index. Can be set toNA
for further specification.jump.coeff
:A matrix of R expressions for the jump component.
measure
:The Levy measure for jump variables.
measure.type
:The type specification for Levy measures.
state.variable
:A vector of names identifying the state variables used in the drift and diffusion specifications.
parameter
:An object of class
model.parameter-class
, representing the model parameters. For more details, see themodel.parameter-class
documentation page.jump.variable
:The variable for the jump coefficient.
time.variable
:The time variable.
noise.number
:The number of sources of noise, currently only for the Gaussian part.
equation.number
:The dimension of the stochastic differential equation.
dimension
:The dimensions of the parameter given in the
parameter
slot.solve.variable
:The variable with respect to which the stochastic differential equation is solved.
xinit
:The initial value of the stochastic differential equation.
J.flag
:Indicates whether
jump.coeff
includesjump.variable
.is.observed
:Indicates whether each state variable is observed (i.e., data is given) or not.
drift_slope
:An expression specifying the slope of the drift coefficient with respect to unobserved variables (a vector).
drift_intercept
:An expression specifying the intercept of the drift coefficient with respect to unobserved variables (a vector).
Author(s)
The YUIMA Project Team