[R] mean reverting model
rechtsteiner at bgki.net
Mon Mar 9 23:18:20 CET 2009
the problem is that I don't know what kind of model this exactly is...
I only know that I have to do it this way and how the model is
> Mean reverting model = autoregression? If so, then search for
> to fit a time series.
> On Mar 10, 4:36 am, Josuah Rechtsteiner <rechtstei... at bgki.net> wrote:
>> dear useRs,
>> i'm working with a mean reverting model of the following
>> y = mu + beta(x - mu) + errorterm, where mu is a constant
>> currently I estimate just y = x (with lm()) to get beta and then
>> calculate mu = estimated intercept / (1-beta).
>> but I'd like to estimate mu and beta together in one regression-step
>> and also get the test-statistics (including parameter variance) for
>> as well as for beta in the summary of the regression.
>> could you please help me?
>> thanks very much in advance!
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>> and provide commented, minimal, self-contained, reproducible code.
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
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