ajdmom.mdl_1fsv.cov

Covariance for One-Factor SV

Functions

cov(l1, l2, par)	Covariance in scalar
cov_yy(l1, l2)	Covariance \(cov(y_n^{l_1},y_{n+1}^{l_2})\) in equation (8)
dcov(l1, l2, par, wrt)	Partial derivative of covariance w.r.t.
exp_vn(l)	Expand \(v_n^l\)
moment_inner_comb(l1, m1, m2, m3, m4, m5, ...)	Moment for this inner combination in expansion of \(y_n^{l_1}\)
moment_outer_comb(l2, n1, n2, n3, n4, n5, l1)	Moment for this outer combination in expansion of \(y_{n+1}^{l_2}\)
moment_yy(l1, l2)	Moment \(E[y_n^{l_1}y_{n+1}^{l_2}]\) as in equation (9)
ve_IEII_vn(n2, n3, n4, n5)	Compute \(v_n^{n_2}e^{-n_3k(n+1)h} IEII\) and expand \(v_n\)