cogarchNoise: Estimation for the underlying Levy in a COGARCH(p,q) model

In yuima: The YUIMA Project Package for SDEs

Estimation for the underlying Levy in a COGARCH(p,q) model

Description

Retrieve the increment of the underlying Levy for the COGARCH(p,q) process

Usage

cogarchNoise(yuima, data=NULL, param, mu=1)

Arguments

yuima	a yuima object or an object of yuima.cogarch-class.
data	an object of class yuima.data-class contains the observations available at uniformly spaced time. If data=NULL, the default, the cogarchNoise uses the data in an object of yuima.data-class.
param	list of parameters for the COGARCH(p,q).
mu	a numeric object that contains the value of the second moments of the levy measure.

Value

incr.Levy	a numeric object contains the estimated increments.
model	an object of class yuima containing the state, the variance and the cogarch process.

Note

The function cogarchNoise assumes the underlying Levy process is centered in zero.

The function gmm uses the function cogarchNoise for estimation of underlying Levy in the COGARCH(p,q) model.

Author(s)

The YUIMA Project Team

References

Chadraa. (2009) Statistical Modelling with COGARCH(P,Q) Processes, PhD Thesis.

Examples

# Insert here some examples

yuima documentation built on Nov. 14, 2022, 3:02 p.m.