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MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process

  • Rafal Weron


    (Wroclaw University of Technology)

MRJD_PRED returns a one-step ahead point forecast of the MRJD model: dX = (alpha - beta*X)*dt + sigma*dB + N(mu,gamma)*dN(lambda). [M,I] = MRJD_PRED(...,L) additionally returns the double-sided prediction intervals I for a set of confidence levels L. MRJD_PRED(...,L,NTRAJ) returns values based on Monte Carlo simulations with NTRAJ trajectories (instead of using analytic results).

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Software component provided by Boston College Department of Economics in its series Statistical Software Components with number M429004.

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Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.2)
Date of creation: 19 Oct 2010
Date of revision:
Handle: RePEc:boc:bocode:m429009
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