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Re: Maxi/minimization stupid question - CIR stochastic process
From: |
AlbFrigerio |
Subject: |
Re: Maxi/minimization stupid question - CIR stochastic process |
Date: |
Fri, 9 Jul 2010 06:58:29 -0700 (PDT) |
Wow Michale, it sounds great to me ... but running it I've got a problem.
I found a way to calculate a suitable initial params vectors using the
following code :
N=length(data);
params = [ones(N -1,1) , data(1:N -1)];
ols = (params'*params)^(-1)*(params'* data(2: N));
m= mean(data); v= var(data);
params = [- log(ols(2))/ dt , m, sqrt(2*ols(2)*v/m)];
I wonder this choice would have helped the bfgsmin function to reach the
solution in a little time, but using this Input Octave crashes :(
May you tell if it is a problem of my PC ?
Thanks again, your idea was really really smart!
Alberto
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