FitOU: Fit the Ornstein-uhlenbeck process to model the behavior for...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Fit the Ornstein-uhlenbeck process to model the behavior
for different values of the timestep.
Usage
1
FitOU(Y, tau)
Arguments
Y
a matrix containing the value of a process at
various time steps.
tau
a numeric containing the timestep
Value
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)
Author(s)
Manan Shah mkshah@cmu.edu
References
A. Meucci - "Review of Statistical Arbitrage,
Cointegration, and Multivariate Ornstein-Uhlenbeck" -
Formula (8),(9) http://ssrn.com/abstract=1404905
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
Fit the Ornstein-uhlenbeck process to model the behavior for different values of the timestep.
Usage
1 | FitOU(Y, tau)
|
Arguments
Y |
a matrix containing the value of a process at various time steps. |
tau |
a numeric containing the timestep |
Value
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)
Author(s)
Manan Shah mkshah@cmu.edu
References
A. Meucci - "Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck" - Formula (8),(9) http://ssrn.com/abstract=1404905
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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