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How to calculate AIC and BIC for GBM and OU processes in R
ousbens
·
Jun 15, 2013
·
r-sig-finance
I would like to find out if a GBM (Geometric Brownian motion) process or a mean reverting Ornstein-Uhlenbeck (OU) process fits better to a time series. To determine this I would like to calculate the AIC, BIC and Log...
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