vsk_Rho {vasicek}

Estimating Vasicek Rho parameter by assuming the know P parameter

Description

The function vsk_Rho estimates Rho parameter in the Vasicek distribution by using maximum likelihood estimator, assuming the known P parameter.

Usage

vsk_Rho(x, p)

Arguments

x

A numeric vector in the (0, 1) interval that is supposed to follow the Vasicek distribution

p

A numeric vector in the (0, 1) interval. p has the same length as x. Each value of p can be a constant or varying.

Value

A scalar representing the Rho parameter in the Vasicek distribution.

Examples

x <- vsk_rvs(1000, Rho = 0.2, P = 0.1)
p <- rep(mean(x), length(x))
vsk_Rho(x, p)
# 0.2110976