Hello fellow researchers,
I am doing a research which involves estimating the parameters of the Cox Ingersoll Ross (CIR) SDE using a Bayesian approach. I propose using the Euler scheme in my approach. Could some one please direct me to any implementation code out there in R, Python or Matlab?
Thank you !!
It depends on the equation, but you can find some good codes here:
https://cran.r-project.org/web/packages/Sim.DiffProc/vignettes/fitsde.html
The question is, however, how good your model will be.
Let me recommend this framework to evaluate and compare alternative models:
Conference Paper Data Formats and Visual Tools for Forecast Evaluation in Cyb...
The above presentation contains references & examples for the settings when you've already created some models but you want to see how good they are.
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