I would like to find out if a GBM (Geometric Brownian motion) process or a mean reverting Ornstein-Uhlenbeck (OU) process fits better to a time series.
To determine this I would like to calculate the AIC, BIC and Log Likelihood values for the GBM and OU processes (and also for a simple Jump diffusion process). How can this be done in R? Many thanks. -- View this message in context: http://r.789695.n4.nabble.com/How-to-calculate-AIC-and-BIC-for-GBM-and-OU-processes-in-R-tp4669607.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
