6.11.2.3.1. statsmodels.sandbox.tsa.diffusion.AffineDiffusion

class statsmodels.sandbox.tsa.diffusion.AffineDiffusion

differential equation:

:math:: dx_t = f(t,x)dt + sigma(t,x)dW_t

integral:

:math:: x_T = x_0 + int_{0}^{T}f(t,S)dt + int_0^T sigma(t,S)dW_t

TODO: check definition, affine, what about jump diffusion?

__init__()

6.11.2.3.1.1. Methods

__init__()
expectedsim(func[, nobs, T, dt, nrepl])	get expectation of a function of a Wiener Process by simulation
sim([nobs, T, dt, nrepl])
simEM([xzero, nobs, T, dt, nrepl, Tratio])	from Higham 2001
simulateW([nobs, T, dt, nrepl])	generate sample of Wiener Process