vsk_Rho: Estimating Vasicek Rho parameter by assuming the know P...

In vasicek: Miscellaneous Functions for Vasicek Distribution

Description

The function vsk_Rho estimates Rho parameter in the Vasicek distribution by using maximum likelihood estimator, assuming the known P parameter.

Usage

vsk_Rho(x, p)

Arguments

x	A numeric vector in the (0, 1) interval that is supposed to follow the Vasicek distribution
p	A numeric vector in the (0, 1) interval. p has the same length as x. Each value of p can be a constant or varying.

Value

A scalar representing the Rho parameter in the Vasicek distribution.

Examples

x <- vsk_rvs(1000, Rho = 0.2, P = 0.1)
p <- rep(mean(x), length(x))
vsk_Rho(x, p)
# 0.2110976

vasicek documentation built on Nov. 9, 2020, 9:07 a.m.