RTL (version 1.0.0)

fitOU: Fits a Ornstein<U+2013>Uhlenbeck process to a dataset

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)
# }