fitOU

Parameter estimation for Ornstein–Uhlenbeck process

A toolkit for Commodities 'analytics', risk management and
trading professionals. Includes functions for API calls to
<https://commodities.morningstar.com/#/>, <https://developer.genscape.com/>,
and <https://www.bankofcanada.ca/valet/docs>.

Philippe Cote

Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

Nima Safaian

fitOU function

<dl><dt>spread</dt>
<dd>Spread time series. <code>tibble</code></dd></dl>

Arguments

Author

Fits a Ornstein–Uhlenbeck process to a dataset — fitOU

<dl>

<dt>spread</dt>
<dd>Spread time series. <code>tibble</code></dd>

</dl>

fitOU: Fits a Ornstein–Uhlenbeck process to a dataset

Description

Usage

Value

Arguments

Author

Examples