SMFI5 (version 1.0)

est.ou: Estimates the parameters of the Ornstein-Uhlenbeck process.~~

Description

Estimates the parameters of the Ornstein-Uhlenbeck process dr = alpha(beta-r)dt + sigma dW.

Usage

est.ou(data, method = "Hessian", days = 360, significanceLevel = 0.95)

Arguments

data

annual bonds yields in percentage;

method

'Hessian' (default), 'num';

days

number of days per year (default: 360);

significanceLevel

(95% default).

Value

param

parameters (alpha, beta, sigma) of the model;

error

estimation errors for the given confidence level.

References

Chapter 5 of 'Statistical Methods for Financial Engineering, B. Remillard, CRC Press, (2013).

Examples

data(data.vasicek)
out = est.ou(data.vasicek[,1]) #The first colum contains returns.