ntwk (version 1.0.0)

fasen_regression: Fasen's multivariate OU least squares regression /10.1016/j.jeconom.2012.08.019.

Description

Fasen's multivariate OU least squares regression /10.1016/j.jeconom.2012.08.019.

Usage

fasen_regression(data)

Arguments

data

Multivariate ata to perform the estimation on.

Value

A (d, d) least square matrix.

Examples

# NOT RUN {
n <- 100
d <- 10
delta_time <- 0.01
noise <- matrix(rnorm(n * d), ncol = d)
path <- construct_path(diag(10), noise, d, delta_time)
fasen_regression(path)
# }