#Loading Data # combinedspotmasterph1<-read.table("C:\\MRP\\TP-Combined-Phase1-Spot.txt",sep="\t",header=TRUE) combinedspotph1<-(combinedspotmasterph1$Close) fcombinedlrph1<-(combinedspotmasterph1$LR) combinedlrph1<-fcombinedlrph1[-1] # #Must download and install "tseries" package before you can continue #Must download and install "urca" package before you can continue #ust download and install "FitAR" package before you can continue #Before continueing to the next section on need to install the Maxlik package library("urca") library("tseries") library("FitAR") library("maxLik") # # #GBMPJ MLE Combined LR # n<-length(combinedlrph1) j<-c(1,2,3,4,5,6,7,8,9,10) gbmploglik<-function(param){ mu<-param[1] sigma<-param[2] lamda<-param[3] nu<-param[4] gama<-param[5] logLikVal<- - n*lamda - .5*n*log(2*pi) + sum((for(i in 1:n)(log(sum(for(j in 1:10)(((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( - (combinedlrph1-mu-j*nu)^2/2*(sigma^2+j*gama^2)))))))))) logLikVal } rescbj<- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c(.2,.1,5,.1,.5), method = "Newton-Raphson") summary(rescbj) #