src/DiffEq/SkewNormal/SkewNormal.hpp file

System of skew-normal SDEs.

Contents

This file implements the time integration of a system of stochastic differential equations (SDEs), whose invariant is the joint skew-normal distribution.

In a nutshell, the equation integrated governs a set of scalars, , , as

The invariant distribution is the joint skew-normal distribution

Here , are time scales, are variance parameters, is an isotropic Wiener process with independent increments, and are the parameters that control the asymmetry and skewness for variable : and give negative and positive skewness, respectively, while reduces the system to a set of independent Ornstein-Uhlenbeck processes. See also DiffEq/DiagOrnsteinUhlenbeck.h. For more details on the skew-normal distribution, see http://www.jstor.org/stable/2337278.

Namespaces

namespace walker
Walker declarations and definitions.

Classes

template<class Init, class Coefficients>
class walker::SkewNormal
Skew-normal SDE used polymorphically with DiffEq.