[Returnanalytics-commits] r2926 - in pkg/Meucci: . man

[noreply at r-forge.r-project.org]

Author: xavierv
Date: 2013-08-29 11:10:41 +0200 (Thu, 29 Aug 2013)
New Revision: 2926

Modified:
   pkg/Meucci/DESCRIPTION
   pkg/Meucci/man/FitOrnsteinUhlenbeck.Rd
Log:
- generated FitOrnsteinUhlenbeck documentation

Modified: pkg/Meucci/DESCRIPTION
===================================================================
--- pkg/Meucci/DESCRIPTION	2013-08-29 09:06:58 UTC (rev 2925)
+++ pkg/Meucci/DESCRIPTION	2013-08-29 09:10:41 UTC (rev 2926)
@@ -95,3 +95,4 @@
     'EfficientFrontierPrices.R'
     '
     FitOrnsteinUhlenbeck.R'
+    'FitOrnsteinUhlenbeck.R'

Modified: pkg/Meucci/man/FitOrnsteinUhlenbeck.Rd
===================================================================
--- pkg/Meucci/man/FitOrnsteinUhlenbeck.Rd	2013-08-29 09:06:58 UTC (rev 2925)
+++ pkg/Meucci/man/FitOrnsteinUhlenbeck.Rd	2013-08-29 09:10:41 UTC (rev 2926)
@@ -4,11 +4,17 @@
 "Risk and Asset Allocation", Springer, 2005}
 \usage{
   FitOrnsteinUhlenbeck(Y, tau)
+
+  FitOrnsteinUhlenbeck(Y, tau)
 }
 \arguments{
   \item{Y}{: [matrix] (T x N)}
 
   \item{tau}{: [scalar] time step}
+
+  \item{Y}{: [matrix] (T x N)}
+
+  \item{tau}{: [scalar] time step}
 }
 \value{
   Mu : [vector] long-term means
@@ -18,21 +24,41 @@
 
   Sig : [matrix] Sig = S * S', covariance matrix of
   Brownian motions
+
+  Mu : [vector] long-term means
+
+  Th : [matrix] whose eigenvalues have positive real part /
+  mean reversion speed
+
+  Sig : [matrix] Sig = S * S', covariance matrix of
+  Brownian motions
 }
 \description{
   Fit a multivariate OU process at estimation step tau, as
   described in A. Meucci "Risk and Asset Allocation",
   Springer, 2005
+
+  Fit a multivariate OU process at estimation step tau, as
+  described in A. Meucci "Risk and Asset Allocation",
+  Springer, 2005
 }
 \note{
   o dY_t = -Th * (Y_t - Mu) * dt + S * dB_t where o dB_t:
   vector of Brownian motions
+
+  o dY_t = -Th * (Y_t - Mu) * dt + S * dB_t where o dB_t:
+  vector of Brownian motions
 }
 \author{
   Xavier Valls \email{flamejat at gmail.com}
+
+  Xavier Valls \email{flamejat at gmail.com}
 }
 \references{
   \url{http://symmys.com/node/170} See Meucci's script for
   "EfficientFrontierReturns.m"
+
+  \url{http://symmys.com/node/170} See Meucci's script for
+  "FitOrnsteinUhlenbeck.m"
 }