yuima (version 1.15.2)

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, data=NULL, param, mu=1)

Arguments

yuima

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 yuima.data-class.

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.

model

an object of class yuima containing the state, the variance and the cogarch process.

References

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

Examples

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