Closed Blunde1 closed 4 years ago
cir.hpp
rmax_cir
expected_max_cir
expected_max_cir_approx
estimate_shape_scale
interpolate_cir
node
gbtree
ensemble
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Appendix B: Split-profiling approaches a CIR process asymptotically
Adding functionality that accounts for this**
cir.hpp
rmax_cir
: simulate vector of maximum cir observations at $\tau = f(u)$expected_max_cir
: numerically calculate expected maximum of $m$ maximumsexpected_max_cir_approx
: fast estimate expected maximum of $m$ maximumsestimate_shape_scale
: fit observations of maximums to a gamma distribution approximatelyinterpolate_cir
: interpolate cir on $u$ to cir on pre-defined grid for fast calculationsnode
,gbtree
andensemble
classes have pending updates