Calculates parameters for Jump Diffusion processes via EM-Algorithm. The jumps-times are considered to be bernoulli distributed with normally distributed jump-sizes.
| Version: | 1.4.1 |
| Depends: | R (≥ 2.5.0) |
| Published: | 2009-06-16 |
| Author: | Matthias Graser |
| Maintainer: | Matthias Graser, <matthias.graser at gmx.de> |
| License: | GPL (≥ 2) |
| CRAN checks: | EMJumpDiffusion results |
| Package source: | EMJumpDiffusion_1.4.1.tar.gz |
| MacOS X binary: | EMJumpDiffusion_1.4.1.tgz |
| Windows binary: | EMJumpDiffusion_1.4.1.zip |
| Reference manual: | EMJumpDiffusion.pdf |
| Old sources: | EMJumpDiffusion archive |