fitOU

spread

Parameter estimation for Ornstein–Uhlenbeck process

A toolkit for Commodities 'analytics', risk management and
trading professionals. Includes functions for API calls to
'Morningstar Commodities' and 'Genscape'.

Philippe Cote

Risk Tool Library - Trading, Risk, 'Analytics' for Commodities

Nima Safaian

fitOU function

<dl><dt>spread</dt>
<dd>Spread time series.</dd></dl>

Arguments

Author

Fits a Ornstein–Uhlenbeck process to a dataset — fitOU

<dl>

<dt>spread</dt>
<dd>Spread time series.</dd>

</dl>

fitOU: Fits a Ornstein–Uhlenbeck process to a dataset

Description

Usage

Value

Arguments

Author

Examples