search for: oufit

...Uhlenbeck process by MAXIMUM LIKELYHOOD method. i found these formulas on http://www.sitmo.com/article/calibrating-the-ornstein-uhlenbeck-model/ this is the mean-reverting process http://r.789695.n4.nabble.com/file/n4637271/process.txt process.txt and this is the script that i am using....... ouFit.ML=function(spread) { n=length(spread) delta=n/n Sx=sum(spread[1:n-1]) Sy=sum(spread[2:n]) Sxx=(Sx)^2 Syy=(Sy)^2 Sxy=Sx*Sy mu = (Sy*Sxx - Sx*Sxy) / ( n*(Sxx - Sxy) - (Sx^2 - Sx*Sy) ) lambda = -log( (Sxy - mu*Sx - mu*Sy + n*mu^2) / (Sxx -2*mu*Sx + n*mu^2) )/delta a = exp(-lamb...