fitMixtureDiffusion: Fit log-normal mixture diffusion to daily-time series of...
In shill1729/findistr: Common distributions used in finance
View source: R/mixture-family.R
fitMixtureDiffusion R Documentation
Fit log-normal mixture diffusion to daily-time series of log-returns
Description
wrapper to mclust EM algorithm for the parameters of a Gaussian-mixture diffusion.
Usage
fitMixtureDiffusion(log_returns, timescale = 1/252)
Arguments
log_returns
multi-dimensional time-series of daily log-returns
timescale
time-scale to convert by.
Value
matrix of component parameters, three rows: probabilities, drifts, volatilities
shill1729/findistr documentation built on May 20, 2024, 9:43 a.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.
View source: R/mixture-family.R
| fitMixtureDiffusion | R Documentation |
Fit log-normal mixture diffusion to daily-time series of log-returns
Description
wrapper to mclust EM algorithm for the parameters of a Gaussian-mixture diffusion.
Usage
fitMixtureDiffusion(log_returns, timescale = 1/252)
Arguments
log_returns |
multi-dimensional time-series of daily log-returns |
timescale |
time-scale to convert by. |
Value
matrix of component parameters, three rows: probabilities, drifts, volatilities
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.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.