Hi
I have been having issue with a ML estimator for Jump diffusion process but
know I am get little error I didn't notice before like I am try to create a
vector
> #GBMPJ MLE Combined Ph 1 LR
> #
> n<-length(combinedlrph1)
> j<-c(1,2,3,4,5,6,7,8,9,10)
Error in c(1, 2, 3, 4, 5, 6, 7, 8, 9, 10) :
unused argument(s) (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( 1, 1, 1, 1,
1), method = "Newton-Raphson")
Error in c(1, 1, 1, 1, 1) : unused argument(s) (1, 1, 1)
then below in the maxLik it is not seem to be taking my other starting value
and I am not sure why? If anyone can help me that would be great.
Thanks,
JP
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