dcCIR2 function

Likelihood Function For The CIR Model

Likelihood

dcCIR2(x, t, x0, theta, log = FALSE)

Arguments

• x: current observation
• t: time of observation
• x0: starting point, i.e. observation in time 0
• theta: parameter $(\alpha, \beta, \sigma)$
• log: logical(1) if TRUE, log likelihood

References

Iacus, S. M. (2008). Simulation and Inference for Stochastic Differential Equations.