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| From | Scott Merryman <scott.merryman@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: First passage problem |
| Date | Tue, 11 Sep 2012 16:02:38 -0500 |
It would help if you displayed your program and explained what type of distribution you want to fit. Scott On Tue, Sep 11, 2012 at 8:40 AM, Jason Rosenberg <RSNJAS002@myuct.ac.za> wrote: > Dear Statalist members > > I am trying to write a program to solve the 'First Passage Problem' for geometric brownian motion. > > I have obtained my empirical pdf and want to fit a probability distribution to it. > I have my times and there accociated probabilities, i.e. 7 has a 0.0136452 chance of occuring. > > I am desperate for help, I have read much if the literature on the subject but cannot figure out how to apply these methods in Stata. > > To view the study I am replecating google: Johansen, A., Simonsen, . I. & Jensen, M. H., 2006. Optimal investment horizons for stocks and markets. Physica A, 370(1), p. 64–67. > > Any help would be greatly appreciated. > > I would be happy to provide any further explanation on what I require > > Kind Regards, > > Dalton Rosenberg. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/