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Student Support Forum: 'Stochastic Process Parameters Estimation' topicStudent Support Forum > General > Archives > "Stochastic Process Parameters Estimation"

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Timur Abubakirov
01/23/13 12:57pm

Hello,

I'm trying to learn, how to use Mathematica to estimate parameters of different stochastic differential equation processes. As an example I simulated Heston model with the code, that I took here:

http://www.wolfram.com/mathematica/new-in-9/time-series-and-stochastic-differential-equations/heston-model.html

Then I try to estimate parameters, using FindProcessParameters function. And I get the error:

FindProcessParameters::mlnimp: "-- Message text not found -- (ItoProcess[{{\[Mu]\ s[t],\[Theta]\ \[Kappa]-\[Kappa]\ r[t]},{{Sqrt[r[t]]\ s[t],\[Rho]\ Sqrt[r[t]]\ s[t]},{0,\[Xi]\ Sqrt[1-\[Rho]\Conjugate[<<1>>]]\ Sqrt[r[t]]}},{s[t],r[t]}},{{s,r},{Subscript[s, 0],Subscript[r, 0]}},{t,0}])"

I tried to change the code by adding different parameters to Heston model, but all I got are many different types of errors.

I attached my code. So, please, help me. Pimp my code =)

Attachment: Heston model.nb, URL: ,
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