Interface | Description |
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OUFitting |
This interface defines an estimation procedure to fit a univariate Ornstein-Uhlenbeck process.
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OUProcess |
Class | Description |
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OrnsteinUhlenbeckProcess |
This class represents a univariate Ornstein-Uhlenbeck (OU) process.
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OUFittingMLE |
This class fits a univariate Ornstein-Uhlenbeck process by using MLE.
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OUFittingOLS |
This class fits a univariate Ornstein-Uhlenbeck process by using least squares regression.
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OUSim |
This class simulates a discrete path of a univariate Ornstein-Uhlenbeck (OU) process.
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