aeMoment function

Asymptotic Expansion - Moments

aeMoment(ae, m = 1, eps = 1, order = NULL)

Arguments

• ae: an object of class yuima.ae-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 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)

# 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)