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OUProcess

于 2010-03-03 发布 文件大小:1KB
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下载积分: 1 下载次数: 20

代码说明:

  This program calibrates the Ornstein–Uhlenbeck process, a mean reverting AR(1) stochastic process. The parameters are estimated using (1)Least Squares fitting and (2)Maximum Likelihood estimation.

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