CIR模型MATLAB程序

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weilinhy 发表于 2009-11-26 00:27
请问是 MAXIMUM LIKELIHOOD ESTIMATION OF THE COX-INGERSOLL-ROSS PROCESS: THE MATLAB IMPLEMENTATION 文 ...

谢谢八楼

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weilinhy 发表于 2009-11-26 00:27
请问是 MAXIMUM LIKELIHOOD ESTIMATION OF THE COX-INGERSOLL-ROSS PROCESS: THE MATLAB IMPLEMENTATION 文 ...

您好 请问可以麻烦解释2.2节 的代码吗？还有这节前面最优化的时候就是偏导得零？

% CIR initial parameters estimation
x = Model.Data(1:end-1); % Time series of interest rates observations
dx = diff(Model.Data);
dx = dx./x.^0.5;
regressors = [Model.TimeStep./x.^0.5, Model.TimeStep*x.^0.5];
drift = regressors\dx; % OLS regressors coefficients estimates
res = regressors*drift - dx;
alpha = -drift(2);
mu = -drift(1)/drift(2);
sigma = sqrt(var(res, 1)/Model.TimeStep);
InitialParams = [alpha mu sigma]; % Vector of initial parameters


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