calibrate_mrjd: Calibrate Dynamic SDE and Jump Parameters

In weatherMRJD: Weather Analysis and Markov Regime Switching Jump Diffusion Models

Calibrate Dynamic SDE and Jump Parameters

Description

Estimates mean-reversion speed, unconditional volatility, and jump characteristics.

Usage

calibrate_mrjd(residuals, n_years, threshold_sigma = 2.5)

Arguments

residuals	Numeric vector of detrended temperature residuals X(t).
n_years	Numeric scalar representing total observation period in years.
threshold_sigma	Threshold multiplier for jump identification (default: 2.5).

Value

A named list of calibrated stochastic differential parameters.

Examples

set.seed(123)
res <- stats::rnorm(730, sd = 2)
calib <- calibrate_mrjd(res, n_years = 2)
print(calib$kappa)

weatherMRJD documentation built on Aug. 20, 2026, 5:10 p.m.