Name | Description | Type | Package | Framework |
GBMProcess | A Geometric Brownian motion (GBM) (occasionally, exponential Brownian motion) is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion. | Class | com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.process | SuanShu |
OrnsteinUhlenbeckProcess | This class represents a univariate Ornstein-Uhlenbeck (OU) process. | Class | com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.process.ou | SuanShu |
OUFitting | This interface defines an estimation procedure to fit a univariate Ornstein-Uhlenbeck process. | Interface | com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.process.ou | SuanShu |
OUFittingMLE | This class fits a univariate Ornstein-Uhlenbeck process by using MLE. | Class | com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.process.ou | SuanShu |
OUFittingOLS | This class fits a univariate Ornstein-Uhlenbeck process by using least squares regression. | Class | com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.process.ou | SuanShu |
OUProcess | Get the overall mean. | Interface | com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.process.ou | SuanShu |
OUSim | This class simulates a discrete path of a univariate Ornstein-Uhlenbeck (OU) process. | Class | com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.process.ou | SuanShu |