FitOrnsteinUhlenbeck: Fits a multivariate Ornstein - Uhlenbeck process at...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
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
FitOrnsteinUhlenbeck(Y, tau)
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.
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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 | FitOrnsteinUhlenbeck(Y, tau)
|
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 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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