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views:

39

answers:

2
+1  Q: 

r code for using Ornstein-Uhlenbeck to estimate time for mean reversion

I am looking for an example of the r code for using Ornstein-Uhlenbeck to estimate time for mean reversion when considering cointegrated securities

+1  A: 

There are several packages on CRAN that have the Ornstein-Uhlenbeck procedure. I would suggest using rseek to find them, then see which package best suits your needs.

Joshua Ulrich  2010-10-22 19:01:05
+1 Rseek is always a good step.
Shane  2010-10-22 19:19:41
+2  A: 

I suggestion reading through this thread on the r-sig-finance list which directly addresses your question.

Shane  2010-10-22 19:09:52
That came up in my rseek results. ;-)
Joshua Ulrich  2010-10-22 19:13:23
@Joshua Absolutely; just wanted to highlight it since it goes over much more than just Ornstein-Uhlenbeck.
Shane  2010-10-22 19:20:29

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