Description Usage Arguments Value Examples
Fasen's multivariate OU least squares regression doi: /10.1016/j.jeconom.2012.08.019.
1 |
data |
Multivariate ata to perform the estimation on. |
A (d, d)
least square matrix.
1 2 3 4 5 6 | n <- 100
d <- 10
delta_time <- 0.01
noise <- matrix(rnorm(n * d), ncol = d)
path <- construct_path(diag(10), noise, d, delta_time)
fasen_regression(path)
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