yuima (version 1.0.81)

cogarchNoise: 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.cogarch, data=NULL, param, mu=1)

Arguments

yuima.cogarch

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

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.

References

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

Examples

# Insert here some examples