aeKurtosis function

Asymptotic Expansion - Kurtosis

aeKurtosis(ae, eps = 1, order = NULL)

Arguments

• ae: an object of class yuima.ae-class.
• eps: numeric. The intensity of the perturbation.
• order: integer. The expansion order. If NULL (default), it uses the maximum order used in ae.

Returns

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)

# expansion order max
aeKurtosis(ae = approx)

# expansion order 1
aeKurtosis(ae = approx, order = 1)
## End(Not run)