Interface OUFitting
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- All Known Implementing Classes:
OUFittingMLE
,OUFittingOLS
public interface OUFitting
This interface defines an estimation procedure to fit a univariate Ornstein-Uhlenbeck process.- See Also:
- Wikipedia: Ornstein-Uhlenbeck process
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description OUProcess
getFittedOU(double[] ts, double dt)
Get the fitted OU process.
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Method Detail
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getFittedOU
OUProcess getFittedOU(double[] ts, double dt)
Get the fitted OU process.- 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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