- Category:
- matlab
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[Text]
- File Size:
- 1kb
- Update:
- 2012-11-26
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- Uploaded by:
- amypanda
Description: 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.
- [lsq] - Least squares solution of Ax=b.
File list (Check if you may need any files):
OUProcess_LS.txt
OUProcess_MLE.txt
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