Re: Maxi/minimization stupid question - CIR stochastic process

[AlbFrigerio]

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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