vsk_imm {vasicek}

Estimating Vasicek parameters by using indirect moment matching

Description

The function vsk_imm estimates parameters in the Vasicek distribution by using indirect moment matching.

Usage

vsk_imm(x)

Arguments

x

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

Value

A list with Vasicek parameters, namely Rho and P.

Examples

vsk_imm(vsk_rvs(1000, Rho = 0.2, P = 0.1))
# $Rho
# [1] 0.2110422
# $P
# [1] 0.1024877