GitHub - mpokojovy/mvvasicek: ML Estimation for Discrete Multivariate Vasicek Processes

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ML Estimation for Discrete Multivariate Vasicek Processes

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Name		Name	Last commit message	Last commit date
Latest commit History 7 Commits
PDF		PDF
data		data
ML_est_eqs.m		ML_est_eqs.m
forward_map.m		forward_map.m
inverse_map.m		inverse_map.m
license		license
load_data.m		load_data.m
logdet.m		logdet.m
main.m		main.m
plot_comparison.m		plot_comparison.m
plot_convergence_rates.m		plot_convergence_rates.m
plot_empirical_residuals.m		plot_empirical_residuals.m
plot_error_backtest.m		plot_error_backtest.m
plot_projection.m		plot_projection.m
plot_short_rates.m		plot_short_rates.m
readme		readme
subplot_tight.m		subplot_tight.m

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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%                 Maximum Likelihood Estimation for Discrete Multivariate Vasicek Processes           %
%                 (C) Michael Pokojovy, Ebenezer Nkum and Thomas M. Fullerton, Jr. (2023)             %
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

This Matlab package implements the ML estimator for discrete multivariate Vasicek processes
developed by Michael Pokojovy, Ebenezer Nkum and Thomas M. Fullerton, Jr.

Run main.m file. Adjust settings if necessary.

Copyright: Michael Pokojovy, Ebenezer Nkum and Thomas M. Fullerton, Jr. (2023)
See license for license terms and conditions