Least-Squares and Maximum Likelihood Estimation calibration with R

November 17, 2013

(This article was first published on Quant Corner » R, and kindly contributed to R-bloggers)

In this short post, we give the code snippets for both the least-square method (LS) and the maximum likelihood estimation (MLE). They are based on Calibrating the Ornstein-Uhlenbeck (Vasicek) model at www.sitmo.com. One can also read the article On the Simulation and Estimation … Continue reading

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