fitOU: Fits a Ornstein–Uhlenbeck process to a dataset

View source: R/fitOU.R

fitOUR Documentation

Fits a Ornstein–Uhlenbeck process to a dataset

Description

Parameter estimation for Ornstein–Uhlenbeck process

Usage

fitOU(spread)

Arguments

spread

Spread time series.

Value

List of alpha, mu and sigma estimates

Author(s)

Philippe Cote

Examples

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

RTL documentation built on June 17, 2022, 5:06 p.m.