Displaying 2 results from an estimated 2 matches for "gbmploglik".
2009 Apr 03
2
Geometric Brownian Motion Process with Jumps
...ss 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( - (combinedlr-mu-j*nu)^2/2*(sigma^2+j*gama^2))))))))...
2009 Apr 10
1
Re MLE Issues
...ess but
know I am get little error I didn't notice before like I am try to create a
vector
> #GBMPJ MLE Combined Ph 1 LR
> #
> n<-length(combinedlrph1)
> j<-c(1,2,3,4,5,6,7,8,9,10)
Error in c(1, 2, 3, 4, 5, 6, 7, 8, 9, 10) :
unused argument(s) (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((for(i in 1:n)(log(sum(for(j
in 1:10)(((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( -
(combinedlrph1-mu-j*nu)^2/2*(sigma...