yuima.cogarch-class function

Class for the Mathematical Description of CoGarch(p,q) Model

The yuima.cogarch class is a class of the yuima package that extends the yuima.model-class. 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 expression which specifies the drift coefficient (a vector).
• diffusion:: is an 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