vsk_imm: Estimating Vasicek parameters by using indirect moment...
In vasicek: Miscellaneous Functions for Vasicek Distribution

The function vsk_imm estimates parameters in the Vasicek distribution by using indirect moment matching.

1	vsk_imm(x)

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

A list with Vasicek parameters, namely Rho and P.

vsk_imm(vsk_rvs(1000, Rho = 0.2, P = 0.1))
# $Rho
# [1] 0.2110422
# $P
# [1] 0.1024877

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

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