vsk_dmm: Estimating Vasicek parameters by using direct moment matching

In vasicek: Miscellaneous Functions for Vasicek Distribution

Description

The function vsk_mle estimates parameters in the Vasicek distribution by using direct moment matching.

Usage

vsk_dmm(x)

Arguments

x	A numeric vector in the (0, 1) interval that is supposed to follow the Vasicek distribution

Value

A list with Vasicek parameters, namely Rho and P.

Examples

vsk_dmm(vsk_rvs(1000, Rho = 0.2, P = 0.1))
# $Rho
# [1] 0.2135844
# $P
# [1] 0.1025469

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