ajdmom.mdl_2fsv.cov

Covariances for Two-Factor SV

Functions

cov(l1, l2, par)	Covariance in scalar
cov_yy(l1, l2)	Covariance \(cov(y_n^{l_1},y_{n+1}^{l_2})\)
dcov(l1, l2, par, wrt)	Partial derivative of covariance w.r.t.
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, ...)	Moment for this outer combination in expansion of \(y_{n+1}^{l_2}\)
moment_yy(l1, l2)	Co-Moment \(E[y_n^{l_1}y_{n+1}^{l_2}]\)
vvee_IEI_IEII_vnvn(n2, n3, n4, n5, n6, n7, n8)	Multiply \(IEI\_IEII\) by \(v_{1,n}v_{2,n}e^{-k_1(n+1)h}e^{-k_2(n+1)h}\)