我是做跳扩散利率模型的,扩散部分是ckls利率模型,跳跃部分是二项分布和正态分布的乘积,自己用winbugs编了一下,编译时出现问题,请各位大侠帮帮忙看看吧,真的是很感谢!
model{
#distribution of r[t]
rmu[1]<-alpha+beta*r[0]+lamda*nmu;
pr[0]<-pow(r[0],2*roph);
rsigma[1]<-(sigma*sigma)*pr[0]+(lamda*lamda)*(nsigma*nsigma)
tau[1]<-1/(rsigma[1]*rsigma[1])
r[1]~dnorm(rmu[1],tau[1])
for(i in 2:N){
rmu<-alpha+beta*r[i-1]+lamda*num;
pr<-pow(r,2*roph)
rsigma<-(sigma*sigma)*pr[i-1]+(lamda*lamda)*(nsigma*nsigma);
tau<-1/(rsigma*rsigma)
r~dnorm(rmu,tau)
}
alpha~dnorm(0,10);
beta~dnorm(0,10);
lamda~dbeta(2,100);
nmu~dnorm(-8,25);
insigma~dgamma(2.5,0.025);
nsigma<-1/insigma;
roph~dunif(0.5,1.5);
isigma~dgamma(2.5,0.025);
sigma<-1/isigma;
}
list(r=c(5.04,7.92,8.28,8.28,9.36,10.8,14.94,13.68,11.52,9,12.06,13.86,
13.86,13.86,13.86,12.06,9,6.66,6.66,5.22,4.5,2.88,2.88,2.88,2.88,2.79,
2.79,3.6,3.6,4.14,4.41,4.95,5.22,5.49,5.76,5.85,5.58,5.13,3.87,3.6,3.6,3.6),
N=42)
list(r[0]=5.04,alpha=0.00023,beta=0.99647,lamda=0.05,roph=0.5,tau=2)
