Displaying 2 results from an estimated 2 matches for "rescbj".
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2009 Apr 03
2
Geometric Brownian Motion Process with Jumps
...n(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))))))))
logLikVal
}
rescbj<- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c(0,1,1,1,1), method = "Newton-Raphson")
summary(rescbj)
#
I am also was wondering if anyone know if there was a package that dealt with Geometric Brownian Motion Process augmented with jumps. Then I could just put that into my code...
2009 Apr 10
1
Re MLE Issues
...igma<-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^2+j*gama^2))))))))))
+ logLikVal
+ }
> rescbj<- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c( 1, 1, 1, 1,
1), method = "Newton-Raphson")
Error in c(1, 1, 1, 1, 1) : unused argument(s) (1, 1, 1)
then below in the maxLik it is not seem to be taking my other starting value
and I am not sure why? If anyone can help me that w...