interRate: interRate
In zhongxianmen2020/interRate: Fit interest rate models for descritized observations
Description
Usage
Arguments
Value
Examples
Description
Fits four types of interest rate models.
Usage
1
Arguments
data
A data set object
burn_in
The sample size of the burn in before estimating the parameters
N
Sample size of the totally sampled time series
model_type
Specify the type of the model that will fitted.(e.g. OU, MOU, CIR, or CEV)
Value
(1) The estimated parameters and their confidence intervals,
(2) the sampled time series after a burn_in period for parameter estimation,
(3) the probability integral transform of the fitted model based on the training data,
(4) the standardized residuals , and (5) the AIC an BIC.
Examples
1
zhongxianmen2020/interRate documentation built on Jan. 18, 2022, 7:56 p.m.
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Description Usage Arguments Value Examples
Description
Fits four types of interest rate models.
Usage
1 |
Arguments
data |
A data set object |
burn_in |
The sample size of the burn in before estimating the parameters |
N |
Sample size of the totally sampled time series |
model_type |
Specify the type of the model that will fitted.(e.g. OU, MOU, CIR, or CEV) |
Value
(1) The estimated parameters and their confidence intervals, (2) the sampled time series after a burn_in period for parameter estimation, (3) the probability integral transform of the fitted model based on the training data, (4) the standardized residuals , and (5) the AIC an BIC.
Examples
1 |
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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