RTL (version 0.1.5)

fitOU: fitOU

Description

Parameter estimation for Ornstein<U+2013>Uhlenbeck process

Usage

fitOU(spread)

Arguments

spread

Spread time series.

Value

List of alpha, mu and sigma estimates

Examples

# NOT RUN {
spread <- simOU(mu=5,theta=.5,sigma=0.2,T=5,dt=1/250)
fitOU(spread)
# }