Hi: check out the SDE package and the associated UseR book. There may be relevant material in there.
On Sat, Jun 15, 2013 at 12:31 PM, Dominykas Grigonis < [email protected]> wrote: > You will need to write your own functions for likelihood. Then AIC and BIC > are straight forward once you have log-likelihood. This will be a pretty > tedious process as for GBM log-likelihood will be straight forward, for > mean-reversionÂ… its in principal similar to arma, however never had to do > it myself, don't think its easy. Anyways, I would recommend comparing > simulated distributions rather than log-likelihoods. > > > Kind regards,-- > Dominykas Grigonis > > > On Saturday, 15 June 2013 at 17:24, ousbens wrote: > > > 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 ( > http://Nabble.com). > > > > _______________________________________________ > > [email protected] (mailto:[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. > > > > > > > > [[alternative HTML version deleted]] > > > _______________________________________________ > [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. > [[alternative HTML version deleted]]
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