Class OUFittingMLE
- java.lang.Object
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- dev.nm.stat.stochasticprocess.univariate.sde.process.ou.OUFittingMLE
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Constructor Summary
Constructors Constructor Description OUFittingMLE()
Create an instance that estimates the volatility parameter σ.OUFittingMLE(boolean estimateVolatility)
Create an instance with the option whether to estimate the volatility parameter.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description OUProcess
getFittedOU(double[] ts)
Fit an OU process by using MLE.OUProcess
getFittedOU(double[] ts, double dt)
Get the fitted OU process.
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Constructor Detail
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OUFittingMLE
public OUFittingMLE(boolean estimateVolatility)
Create an instance with the option whether to estimate the volatility parameter. If the volatility parameter is NOT estimated, the fitted process will assume σ=1.- Parameters:
estimateVolatility
-true
if volatility parameter is to be estimated
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OUFittingMLE
public OUFittingMLE()
Create an instance that estimates the volatility parameter σ.
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Method Detail
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getFittedOU
public OUProcess getFittedOU(double[] ts)
Fit an OU process by using MLE. By default, the time interval is assumed to be 1.- Parameters:
ts
- the time series- Returns:
- the fitted OU process
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getFittedOU
public OUProcess getFittedOU(double[] ts, double dt)
Description copied from interface:OUFitting
Get the fitted OU process.- Specified by:
getFittedOU
in interfaceOUFitting
- Parameters:
ts
- the time seriesdt
- the time interval between two successive points in the time series- Returns:
- the fitted OU process
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