6.11.2.3.6. statsmodels.sandbox.tsa.diffusion.ExactDiffusion¶
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class
statsmodels.sandbox.tsa.diffusion.ExactDiffusion[source]¶ Diffusion that has an exact integral representation
this is currently mainly for geometric, log processes
6.11.2.3.6.1. Methods¶
__init__() |
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exactdist(xzero, t) |
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exactprocess(xzero, nobs[, ddt, nrepl]) |
ddt : discrete delta t |
expectedsim(func[, nobs, T, dt, nrepl]) |
get expectation of a function of a Wiener Process by simulation |
sim([nobs, T, dt, nrepl]) |
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simEM([xzero, nobs, T, dt, nrepl, Tratio]) |
from Higham 2001 |
simulateW([nobs, T, dt, nrepl]) |
generate sample of Wiener Process |