Estimation for the underlying Levy in a COGARCH(p,q) model
Retrieve the increment of the underlying Levy for the COGARCH(p,q) process
cogarchNoise(yuima, data=NULL, param, mu=1)
yuima: a yuima object or an object of yuima.cogarch-class.data: an object of class yuima.data-class contains the observations available at uniformly spaced time. If data=NULL, the default, the cogarchNoise uses the data in an object of yuima.data-class.param: list of parameters for the COGARCH(p,q).mu: a numeric object that contains the value of the second moments of the levy measure.incr.Levy: a numeric object contains the estimated increments.
model: an object of class yuima containing the state, the variance and the cogarch process.
The YUIMA Project Team
The function cogarchNoise assumes the underlying Levy process is centered in zero.
The function gmm uses the function cogarchNoise for estimation of underlying Levy in the COGARCH(p,q) model.
Chadraa. (2009) Statistical Modelling with COGARCH(P,Q) Processes, PhD Thesis.
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