logLikeGBM: Log-likelihood function for GBM with time-dependent...
In shill1729/findistr: Common distributions used in finance
logLikeGBM R Documentation
Log-likelihood function for GBM with time-dependent coefficient functions.
Description
The log-likelihood of the daily log returns under a time-dependent
GBM model. Used for numerical MLE routines.
Usage
logLikeGBM(theta, x, h, idynamics)
Arguments
theta
parameter to optimize
x
observations of realized variates
h
time-scale
idynamics
the integrated mean and volatility functions, as a list
Details
Here the coefficients in the SDE dS_t=\mu(t) S_t dt +\sigma(t) S_t dB_t are assumed
to be functions of time.
Value
numeric
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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| logLikeGBM | R Documentation |
Log-likelihood function for GBM with time-dependent coefficient functions.
Description
The log-likelihood of the daily log returns under a time-dependent GBM model. Used for numerical MLE routines.
Usage
logLikeGBM(theta, x, h, idynamics)
Arguments
theta |
parameter to optimize |
x |
observations of realized variates |
h |
time-scale |
idynamics |
the integrated mean and volatility functions, as a list |
Details
Here the coefficients in the SDE dS_t=\mu(t) S_t dt +\sigma(t) S_t dB_t are assumed
to be functions of time.
Value
numeric
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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