ajdmom.mdl_srjd.cond2_mom

Conditional moments (II)

Conditional moments of the SRJD model, given the initial state and the realized jumps over the concerned interval.

Functions

coef_poly(coef, poly, tp)

Multiply poly with different type coefficients

fZ(l, k, s, J)

function \(f_{Z_t}(l_{1:n})\) as defined in (2)

int_e_IE(i, m, IE)

Integral of \(\int_0^t e^{iks} I\!E_s^m ds\)

int_e_IEZ_IE(m, IE)

Integral of \(\int_0^t e^{ks} I\!E\!Z_s I\!E_s^m ds\)

int_e_poly(i, poly)

integral of \(\int_0^t e^{iks} poly ds\)

m(l, par)

conditional moment in scalar

moment_IE(m)

\(\mathbb{E}[I\!E_t^m|v_0, z(s), 0\le s\le t]\)

moment_v(m)

conditional moment \(\mathbb{E}[v_t^m|v_0, z(s), 0\le s\le t]\)

poly2num(poly, par)

Decode poly back to scalar

recursive_IE(m, IE)

Recursive step in equation (1)