FitOrnsteinUhlenbeck: Fits a multivariate Ornstein - Uhlenbeck process at...

Description Usage Arguments Value Note Author(s) References

Description

Fit a multivariate OU process at estimation step tau, as described in A. Meucci "Risk and Asset Allocation", Springer, 2005

Usage

1

Arguments

Y

: [matrix] (T x N)

tau

: [scalar] time step

Value

Mu : [vector] long-term means

Th : [matrix] whose eigenvalues have positive real part / mean reversion speed

Sig : [matrix] Sig = S * S', covariance matrix of Brownian motions

Note

o dY_t = -Th * (Y_t - Mu) * dt + S * dB_t where o dB_t: vector of Brownian motions

Author(s)

Xavier Valls flamejat@gmail.com

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.

See Meucci's script for "FitOrnsteinUhlenbeck.m"


R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.