ModelU4: Compute the maximum likelihood estimate of Model U4

Description Usage Arguments Examples

View source: R/ModelU4.R

Description

CIR model: dX = kappa (alpha - X) dt + sigma sqrt(X) dW

Usage

1
ModelU4(x, x0, del, param)

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 3-vector (kappa,alpha,sigma)

Examples

1
ModelU4(0.4,0.3,0.1,c(0.1,0.3,0.2))

mfrdixon/MLEMVD documentation built on May 1, 2018, 11:38 p.m.