ajdmom.ito_mom.recursive_IEII

ajdmom.ito_mom.recursive_IEII(n3, n4, n5, IEII)

Recursive step in equation (3)

Parameters:

• n3 (int) – \(n_3\) in \(\mathbb{E}[I\!E_{n-1,t}^{n_3}I_{n-1,t}^{n_4}I_{n-1,t}^{*n_5}|v_{n-1}]\).

• n4 (int) – \(n_4\) in \(\mathbb{E}[I\!E_{n-1,t}^{n_3}I_{n-1,t}^{n_4}I_{n-1,t}^{*n_5}|v_{n-1}]\).

• n5 (int) – \(n_5\) in \(\mathbb{E}[I\!E_{n-1,t}^{n_3}I_{n-1,t}^{n_4}I_{n-1,t}^{*n_5}|v_{n-1}]\).

• IEII (dict) – a dict with key (n3,n4,n5) and value Poly object with attribute keyfor = (‘e^{k(n-1)h}’, ‘e^{k[t-(n-1)h]}’, ‘[t-(n-1)h]’, ‘v_{n-1}’, ‘k^{-}’, ‘theta’, ‘sigma_v’).

Returns:

updated IEII.

Return type:

dict