mseMerton: MSE between empirical and model PDF under Merton's...

In shill1729/findistr: Common distributions used in finance

MSE between empirical and model PDF under Merton's jump-diffusion

Description

MSE between empirical model PDF under Merton's jump-diffusion for a given time-series of log-returns.

Usage

mseMerton(param, epdf, t)

Arguments

param	a vector of parameters defining Merton's jump dynamics. See details.
epdf	the empirical pdf returned from density
t	the time input, for daily use 1/252

Details

The argument param must be a vector of five real numbers, (\mu, \sigma, \lambda, \alpha, \beta), representing the mean drift, volatility, mean-rate of jumps, and the mean log-jump size and the standard deviation of the log-jump size, in this order. The volatility, mean rate of jumps, and standard deviation of log-jump size must all be positive.

Value

numeric or vector depending on the length of the input x.

shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.