fitOU | R Documentation |
Parameter estimation for Ornstein–Uhlenbeck process using OLS
fitOU(spread, dt = 1/252)
spread |
Spread time series. |
dt |
Time step size in fractions of a year. Default is 1/252. |
List of theta, mu, annualized sigma estimates. It returns half life consistent with periodicity list
Philippe Cote
spread <- simOU(nsims = 1, mu = 5, theta = .5, sigma = 0.2, T = 5, dt = 1 / 252)
fitOU(spread = spread$sim1)
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