Description Usage Arguments Value Author(s) References
Fit the Ornstein-uhlenbeck process to model the behavior for different values of the timestep.
1 | FitOU(Y, tau)
|
Y |
a matrix containing the value of a process at various time steps. |
tau |
a numeric containing the timestep |
a list containing
Mu a vector containing the expectation of the process
Sig a matrix containing the covariance of the resulting fitted OU process
Th a transition matrix required for defining the fitted OU process
x_{t+ τ } = \big(I- e^{- θ τ } \big) μ + e^{- θ τ } x_{t}, vec \big( Σ _{ τ } \big) \equiv \big( Θ \oplus Θ \big) ^{-1} \big(I- e^{( Θ \oplus Θ ) τ } \big) vec \big( Σ \big)
Manan Shah mkshah@cmu.edu
A. Meucci - "Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck" - Formula (8),(9) http://ssrn.com/abstract=1404905
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