R: Simulation and Inference for Stochastic Differential Equations

# Simulation and Inference for Stochastic Differential Equations

## Documentation for package ‘sde’ version 2.0.21

- DESCRIPTION file
- User guides, package vignettes and other documentation
- Package NEWS

## Help Pages

BBridge | Brownian motion, Brownian bridge, and geometric Brownian motion simulators
BM | Brownian motion, Brownian bridge, and geometric Brownian motion simulators
cpoint | Volatility change-point estimator for diffusion processes
DBridge | Simulation of diffusion bridge
dcBS | Black-Scholes-Merton or geometric Brownian motion process conditional law
dcCIR | Conditional law of the Cox-Ingersoll-Ross process
dcElerian | Approximated conditional law of a diffusion process by Elerian's method
dcEuler | Approximated conditional law of a diffusion process
dcKessler | Approximated conditional law of a diffusion process by Kessler's method
dcOU | Ornstein-Uhlenbeck or Vasicek process conditional law
dcOzaki | Approximated conditional law of a diffusion process by Ozaki's method
dcShoji | Approximated conditional law of a diffusion process by the Shoji-Ozaki method
dcSim | Pedersen's simulated transition density
dsCIR | Cox-Ingersoll-Ross process stationary law
dsOU | Ornstein-Uhlenbeck or Vasicek process stationary law
DWJ | Weekly closings of the Dow-Jones industrial average
EULERloglik | Euler approximation of the likelihood
GBM | Brownian motion, Brownian bridge, and geometric Brownian motion simulators
gmm | Generalized method of moments estimator
HPloglik | Ait-Sahalia Hermite polynomial expansion approximation of the likelihood
ksdens | Nonparametric invariant density, drift, and diffusion coefficient estimation
ksdiff | Nonparametric invariant density, drift, and diffusion coefficient estimation
ksdrift | Nonparametric invariant density, drift, and diffusion coefficient estimation
linear.mart.ef | Linear martingale estimating function
MOdist | Markov Operator distance for clustering diffusion processes.
pcBS | Black-Scholes-Merton or geometric Brownian motion process conditional law
pcCIR | Conditional law of the Cox-Ingersoll-Ross process
pcOU | Ornstein-Uhlenbeck or Vasicek process conditional law
psCIR | Cox-Ingersoll-Ross process stationary law
psOU | Ornstein-Uhlenbeck or Vasicek process stationary law
qcBS | Black-Scholes-Merton or geometric Brownian motion process conditional law
qcCIR | Conditional law of the Cox-Ingersoll-Ross process
qcOU | Ornstein-Uhlenbeck or Vasicek process conditional law
qsCIR | Cox-Ingersoll-Ross process stationary law
qsOU | Ornstein-Uhlenbeck or Vasicek process stationary law
quotes | Daily closings of 20 financial time series from 2006-01-03 to 2007-12-31
rcBS | Black-Scholes-Merton or geometric Brownian motion process conditional law
rcCIR | Conditional law of the Cox-Ingersoll-Ross process
rcOU | Ornstein-Uhlenbeck or Vasicek process conditional law
rsCIR | Cox-Ingersoll-Ross process stationary law
rsOU | Ornstein-Uhlenbeck or Vasicek process stationary law
sde.sim | Simulation of stochastic differential equation
sdeAIC | Akaike's information criterion for diffusion processes
sdeDiv | Phi-Divergences test for diffusion processes
SIMloglik | Pedersen's approximation of the likelihood
simple.ef | Simple estimating functions of types I and II
simple.ef2 | Simple estimating function based on the infinitesimal generator a the diffusion process