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combined
2009 Apr 03
2
Geometric Brownian Motion Process with Jumps
...ome MLE of Geometric Brownian Motion Process and everything has been going fine, but know I have tried to do it with jumps. I have create a vector of jumps and then added this into my log-likelihood equation, know I am getting a message:
NA in the initial gradient
My codes is hear
#
n<-length(combinedlr)
j<-c(1,2,3,4,5,6,7,8,9,10)
gbmploglik<-function(param){
mu<-param[1]
sigma<-param[2]
lamda<-param[3]
nu<-param[4]
gama<-param[5]
logLikVal<- - n*lamda - .5*n*log(2*pi) + sum(log(sum(for(j in 1:10)(cat((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( - (combinedl...