6.11.2.3.9. statsmodels.sandbox.tsa.diffusion.SchwartzOne¶
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class
statsmodels.sandbox.tsa.diffusion.
SchwartzOne
(xzero, mu, kappa, sigma)[source]¶ the Schwartz type 1 stochastic process
:math:: dx_t = kappa (mu - ln x_t) x_t dt + sigma x_tdW
The Schwartz type 1 process is a log of the Ornstein-Uhlenbeck stochastic process.
6.11.2.3.9.1. Methods¶
__init__ (xzero, mu, kappa, sigma) |
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exactdist (xzero, t) |
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exactprocess (xzero, nobs[, ddt, nrepl]) |
uses exact solution for log of process |
expectedsim (func[, nobs, T, dt, nrepl]) |
get expectation of a function of a Wiener Process by simulation |
fitls (data, dt) |
assumes data is 1d, univariate time series |
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 |