yuima.poisson-class function

Class for the Mathematical Description of Compound Poisson Processes

The yuima.poisson class is a class of the yuima package that extends the yuima.model-class. class

Slots

• drift:: always expression((0)).

• diffusion:: a list of expression((0)).

• hurst:: always h=0.5, but ignored for this model.

• jump.coeff:: set according to scale in setPoisson.

• measure:: a list containting the intensity measure and the jump distribution.

• measure.type:: always "CP".

• state.variable: a vector of names identifying the names used to denote the state variable in the drift and diffusion specifications.

• parameter:: which is a short name for ``parameters'', is an object of class model.parameter-class. For more details see model.parameter-class documentation page.

• state.variable:: identifies the state variables in the

   expression.
  

• jump.variable:: identifies the variable for the jump coefficient.

• time.variable:: the time variable.

• noise.number:: denotes the number of sources of noise.

• equation.number:: denotes the dimension of the stochastic differential equation.

• dimension:: the dimensions of the parameter given in the parameter slot.

• solve.variable:: identifies the variable with respect to which the stochastic differential equation has to be solved.

• xinit:: contains the initial value of the stochastic differential equation.

• J.flag:: wheather jump.coeff include jump.variable.

Methods

• simulate: simulation method. For more information see simulate.
• qmle: Quasi maximum likelihood estimation procedure. For more information see qmle.

Author(s)

The YUIMA Project Team