ModelU4: Compute the maximum likelihood estimate of Model U4

In mfrdixon/MLEMVD: Maximum Likelihood Estimation for Diffusion Equations

Description

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

Usage

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

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

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