distribution-state(schwartz97)
distribution-state()所属R语言包：schwartz97
Schwartz two-factor Model: Distribution of the State Variables
施瓦茨双因素模型：状态变量的分布
译者：生物统计家园网 机器人LoveR
描述----------Description----------
Density, distribution function and quantile function of the state variables. The state variables are the commodity spot price s and the spot convenience yield delta. The commodity log spot price and the convenience yield follow a bivariate normal distribution.
密度，分布函数和分位数的状态变量的函数。状态变量的大宗商品现货价格s和当场便利收益delta。商品log现货价格和便利收益的二元正态分布。
用法----------Usage----------
## S4 method for signature 'ANY,ANY,numeric'
dstate(x, time = 1, s0 = 50, delta0 = 0,
mu = 0.1, sigmaS = 0.3, kappa = 1, alpha = 0,
sigmaE = 0.5, rho = 0.75, ...)
## S4 method for signature 'ANY,ANY,schwartz2f'
dstate(x, time = 1, s0, ...)
## S4 method for signature 'ANY,ANY,ANY,numeric'
pstate(lower, upper, time = 1, s0 = 50, delta0 = 0,
mu = 0.1, sigmaS = 0.3, kappa = 1, alpha = 0,
sigmaE = 0.5, rho = 0.75, ...)
## S4 method for signature 'ANY,ANY,ANY,schwartz2f'
pstate(lower, upper, time = 1, s0, ...)
## S4 method for signature 'ANY,ANY,numeric'
qstate(p, time = 1, s0 = 50, delta0 = 0,
mu = 0.1, sigmaS = 0.3, kappa = 1, alpha = 0,
sigmaE = 0.5, rho = 0.75, tail = "lower.tail", ...)
## S4 method for signature 'ANY,ANY,schwartz2f'
qstate(p, time = 1, s0, tail = "lower.tail", ...)
参数----------Arguments----------
参数：x
Vector or matrix of quantiles. If x is a matrix, each row is taken to be a quantile.
矢量或矩阵位数。如果x是一个矩阵，每一行是一个位数。
参数：time
Time at which the quantity is computed (relative to time zero).
时的时间的数量计算的（相对时间为零）。
参数：p
Probability, a scalar.
概率，一个标量。
参数：lower
The vector of lower limits of length 2. Note that first component stands for lower limit of the commodity spot price rather than the log-price.
的矢量的长度为2的下限。请注意，第一组分代表商品现货价的下限，而不是记录价格。
参数：upper
The vector of upper limits of length 2. Note that first component stands for the upper limit of the commodity spot price rather than the log-price.
的矢量的长度为2的上限。请注意，第一组分代表商品现货价的上限，而不是记录价格。
参数：s0
Either a numeric representing the initial value of the commodity spot price or an object inheriting from class schwartz2f.
一个numeric代表的大宗商品现货价格的初始值或对象继承类schwartz2f。
参数：delta0
Initial value of the convenience yield.
便利收益的初始值。
参数：mu
enters the drift of the commodity spot price.
进入漂移的大宗商品现货价格。
参数：sigmaS
Diffusion parameter of the spot price-process.
现货价格过程的扩散参数。
参数：kappa
Speed of mean-reversion of the convenience yield process.
均值回归的便利收益过程的速度。
参数：alpha
Mean-level of the convenience yield process.
平均数级的便利收益过程。
参数：sigmaE
Diffusion parameter of the convenience yield process.
便利收益过程中的扩散参数。
参数：rho
Correlation coefficient between the Brownian motion driving the spot price and the convenience yield process.
之间的相关系数的布朗运动驱动的现货价格和便利收益的过程。
参数：tail
See qmvnorm of package mvtnorm.
请参阅qmvnorm包mvtnorm。
参数：...
Further arguments to be passed to methods of package mvtnorm.
进一步的参数被传递给的包mvtnorm的方法。
Details
详细信息----------Details----------
The model and its parameters are described in the Details section of the schwartz2f-class documentation and in the package vignette Technical Document.<br>
该模型及其参数的描述在“详细信息”部分的schwartz2f级的文件和技术文件包中的小插曲。<BR>
The above methods rely on the functions pmvnorm, dmvnorm, and qmvnorm of the package mvtnorm.
依靠上述方法的功能pmvnorm，dmvnorm，qmvnorm包mvtnorm。
值----------Value----------
dstate and pstate return a numeric, qstate returns the output of qmvnorm as a list.
dstate和pstate返回一个numeric，qstate返回的输出qmvnormlist。
（作者）----------Author(s)----------
Philipp Erb, David Luethi, Juri Hinz
参见----------See Also----------
schwartz2f-class description, rstate and simstate for random number generation, constructors schwartz2f and fit.schwartz2f.
schwartz2f级的描述，rstate和simstate产生随机数，构造函数schwartz2f和fit.schwartz2f。
实例----------Examples----------
## Create a "schwartz2f"-object[＃创建的“schwartz2f”。对象]
model <- schwartz2f()
## Probability[＃概率]
pstate(lower = c(0, -Inf), upper = c(45, 0.01), time = 1, model)
## Density[＃密度]
dstate(x = c(50, 0.03), time = 2, model)
dstate(x = rbind(c(50, 0.03), c(50, 0.1)), time = 2, model) # x is a matrix [x是一个矩阵]
## Quantile[＃位数]
qstate(p = 0.5, s0 = model)
## Generate random numbers[＃生成随机数]
object <- schwartz2f(alpha = 0.05)
samples <- rstate(1000, time = 2, object)
## ...and plot histograms[＃...和图直方图]
par(mfrow = c(2, 1))
hist(samples[,1])
abline(v = mean(object, time = 2)[1], col = "red")
hist(samples[,2])
abline(v = mean(object, time = 2)[2], col = "red")
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
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发表于 2012-9-29 22:53:01
