cogarchNoise: Estimation for the underlying Levy in a COGARCH(p,q) model
Description
Retrieve the increment of the underlying Levy for the COGARCH(p,q) process
Usage
cogarchNoise(yuima, data=NULL, param, mu=1)
Value
- incr.Levy
a numeric object contains the estimated increments.
- model
an object of class yuima containing the state, the variance and the cogarch process.
Arguments
- yuima
a yuima object or an object of yuima.cogarch-class.
- data
an object of class yuima.data-class contains the observations available at uniformly spaced time. If data=NULL, the default, the cogarchNoise uses the data in an object of yuima.data-class.
- param
list of parameters for the COGARCH(p,q).
- mu
a numeric object that contains the value of the second moments of the levy measure.
Author
The YUIMA Project Team
References
Chadraa. (2009)
Statistical Modelling with COGARCH(P,Q) Processes, PhD Thesis.