Class OUFittingMLE

  • All Implemented Interfaces:
    OUFitting

    public class OUFittingMLE
    extends Object
    implements OUFitting
    This class fits a univariate Ornstein-Uhlenbeck process by using MLE.
    See Also:
    "Sun, Kevin, univariate_OU_fitting.pdf"
    • Constructor Detail

      • 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
      • OUFittingMLE

        public OUFittingMLE()
        Create an instance that estimates the volatility parameter σ.
    • Method Detail

      • 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
      • getFittedOU

        public OUProcess getFittedOU​(double[] ts,
                                     double dt)
        Description copied from interface: OUFitting
        Get the fitted OU process.
        Specified by:
        getFittedOU in interface OUFitting
        Parameters:
        ts - the time series
        dt - the time interval between two successive points in the time series
        Returns:
        the fitted OU process