Here we show how to use the argument fixed in the R function qmle for the estimation of a CARMA(p,q)… Read more Examples: qmle CARMA – fixed parameters
Here you can find an example showing how to set, simulate and estimate a Browniam Motion CARMA with the yuima… Read more Example: Brownian Motion – CARMA
This can happen. For CARMA and COGARCH the best method to use is SANN (default) because of theoretical issues about… Read more I’m getting significanly different results when I’m choosing different methods for estimation (SANN, BFGS etc.)
“delta” is the distance between observations and it controls the unit of measure of the estimates. If your series has… Read more In setData, how do we specify delta on the fly?I read somewhere that “delta is very important in estimation set always to 1/252 for daily data”. Is it really the case?
“start” in qmle should be a good guess of the estimates for the parameters of your model. If you have… Read more How to specify “start” in the function qmle