setLaw {yuima} | R Documentation |
Random Variable Constructor
Description
'setLaw
' constructs an object of class yuima.law
that contains user-defined random number generator, density, cdf, quantile function and characteristic function of a driving noise for a stochastic model.
Usage
setLaw(rng = function(n, ...) {
NULL
}, density = function(x, ...) {
NULL
}, cdf = function(q, ...) {
NULL
}, quant = function(p, ...) {
NULL
}, characteristic = function(u, ...) {
NULL
}, time.var = "t", dim = NA)
Arguments
rng |
A user defined function for the generation of the noise sample. |
density |
A user defined function for the computation of the noise density. |
cdf |
A user defined function for the computation of the noise cumulative distribution function. |
characteristic |
A user defined function for the computation of the characteristi function. |
quant |
A user defined function for the computation of the quantile. |
time.var |
A label of the time variable. |
dim |
Dimension of the noise. |
Details
The constructor produces an yuima.law
-object entirely specified by the user. This object can be employed in all stochastic processes available in yuima
as a driving noise.
The minimal requirement for simulating the stochastic model is the specification of the rng
function.
The density
function is used internally in the qmleLevy
function for the estimation of the Levy parameters.
Value
The constructor returns an object of class yuima.law
Note
There may be missing information in the description. Please contribute with suggestions and fixings.
Contacts: Lorenzo Mercuri lorenzo.mercuri@unimi.it
Author(s)
YUIMA TEAM
References
Masuda, H., Mercuri, L. and Uehara, Y. (2022), Noise Inference For Ergodic Levy Driven SDE, Electronic Journal of Statistics, 16(1), 2432-2474. doi:10.1214/22-EJS2006
Examples
## Not run:
### The following example reports all steps
### for the construction of an yuima.law
### object using the external R package
### VarianceGamma available on CRAN
library(VarianceGamma)
## Definition of a yuima.law object
# User defined rng
myrng <- function(n, eta, t){
rvg(n, vgC = 0, sigma = sqrt(t), theta = 0, nu = 1/(eta*t))
}
# User defined density
mydens <- function(x, eta, t){
dvg(x, vgC = 0, sigma = sqrt(t), theta = 0, nu = 1/(eta*t))
}
mylaw <- setLaw(rng = myrng, density = mydens, dim = 1)
## End(Not run)