z<-read.table("f:\\论文选题\\exp.txt",header=TRUE)<br />
attach(z)<br />
names(z) #结果为rate<br />
likelyhood<-function(para)<br />
{ alpha=para[1]<br />
beta=para[2]<br />
sigma=para[3]<br />
var=sigma^2*(exp(2*beta)-1)/(2*beta) # variance<br />
delta=1/365 # time interval (day)<br />
logl=-(rate-exp(beta*delta)*rate-alpha*(exp(beta*delta)-1)/beta)^2/(2*var)<br />
logl.sum=sum(logl)-log(var)*length(rate)<br />
return(-logl.sum)<br />
}<br />
nlminb(c(1.6,0,.03),likelyhood)
但是R死了，一直运行也不报错。不知道哪儿出问题了
我是想估计Vasicek模型的参数。<bblatex> dr=(a+b*r)*dt+sigma*dW </bblatex>
呼唤各位高人...动手能力太差了....[s:12]
</p>
