fitOU: 'fitOU'

Description Usage Arguments Value Author(s) Examples

View source: R/fitOU.R

Description

Parameter estimation for Ornstein–Uhlenbeck process

Usage

1
fitOU(spread)

Arguments

spread

Spread time series.

Value

List of alpha, mu and sigma estimates

Author(s)

Philippe Cote

Examples

1
2
spread <- simOU(mu=5,theta=.5,sigma=0.2,T=5,dt=1/250)
fitOU(spread)

RTL documentation built on June 12, 2021, 5:06 p.m.

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