fit_ema_gbm: Fit GBM model where parameters are estimated using EMAs
In shill1729/findistr: Common distributions used in finance
fit_ema_gbm R Documentation
Fit GBM model where parameters are estimated using EMAs
Description
Assuming log-returns. This estimates drift vector and covariance
matrix but with an EMA filter. A log-adjustment is made to the drift per
the GBM dynamics.
Usage
fit_ema_gbm(X, lambda = 0.94, h = 1/252)
Arguments
X
data-set
lambda
weight parameter (near 0 corresponds to sample mean)
h
timescale
Value
list of drift and covariance matrix Sigma
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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| fit_ema_gbm | R Documentation |
Fit GBM model where parameters are estimated using EMAs
Description
Assuming log-returns. This estimates drift vector and covariance matrix but with an EMA filter. A log-adjustment is made to the drift per the GBM dynamics.
Usage
fit_ema_gbm(X, lambda = 0.94, h = 1/252)
Arguments
X |
data-set |
lambda |
weight parameter (near 0 corresponds to sample mean) |
h |
timescale |
Value
list of drift and covariance matrix Sigma
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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