ModelU3: Compute the maximum likelihood estimate of Model U3

In mfrdixon/MLEMVD: Maximum Likelihood Estimation for Diffusion Equations

Description

linear drift, CEV diffusion (Univariate Model U3), dX = b(a - X) dt + c X^d dW

Usage

ModelU3(x, x0, del, param, args)

Arguments

x	Observation of the state variable at time t
x0	Observation of the state variable at time t-1
del	The time step between the current and previous observation
param	The parameter 4-vector (a,b,c,d)
args	Not currently used

Examples

ModelU3(0.4,0.3,0.1,c(0.1,0.2,0.3,0.1))

mfrdixon/MLEMVD documentation built on May 22, 2019, 8:52 p.m.