mixedsde (version 5.0)

dcCIR2: Likelihood Function For The CIR Model

Description

Likelihood

Usage

dcCIR2(x, t, x0, theta, log = FALSE)

Arguments

x

current observation

t

time of observation

x0

starting point, i.e. observation in time 0

theta

parameter \((\alpha, \beta, \sigma)\)

log

logical(1) if TRUE, log likelihood

References

Iacus, S. M. (2008). Simulation and Inference for Stochastic Differential Equations.