Last data update: 2014.03.03
|
R: Likelihood Function For The CIR Model
Likelihood Function For The CIR Model
Description
Likelihood
Usage
dcCIR2(x, t, x0, theta, log = FALSE)
Arguments
x |
current observation
|
t |
time of observation
|
x0 |
starting point, i.e. observation in time 0
|
theta |
parameter (α, β, σ)
|
log |
logical(1) if TRUE, log likelihood
|
References
Iacus, S. M. (2008). Simulation and Inference for Stochastic Differential Equations.
Results
|