N-Factor Model Parameter Estimation through the Kalman Filter and Maximum Likelihood Estimation
'r lifecycle::badge("deprecated")'
This function was deprecated due to a change in the name of the function to adhere to the tidyverse style guide.
NFCP.MLE( log.futures, dt, TTM, N.factors, GBM = TRUE, S.Constant = TRUE, Estimate.Initial.State = FALSE, Richardsons.Extrapolation = TRUE, cluster = FALSE, Domains = NULL, ... )
SS_2F <- NFCP.MLE( ####Arguments log.futures = log(SS_oil$stitched_futures)[1:5,1], dt = SS_oil$dt, TTM= SS_oil$stitched_TTM[1], S.Constant = FALSE, N.factors = 1, GBM = TRUE, ####Genoud arguments: hessian = TRUE, Richardsons.Extrapolation = FALSE, pop.size = 4, optim.method = "L-BFGS-B", print.level = 0, max.generations = 0, solution.tolerance = 10) ## -> output <- NFCP_MLE( ####Arguments log_futures = log(SS_oil$contracts)[1:20,1:5], dt = SS_oil$dt, futures_TTM= SS_oil$contract_maturities[1:20,1:5], N_ME = 1, N_factors = 1, GBM = TRUE, ####Genoud arguments: hessian = TRUE, Richardsons_extrapolation = FALSE, pop.size = 4, optim.method = "L-BFGS-B", print.level = 0, max.generations = 0, solution.tolerance = 10)
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