5.18 estimate_parameter

Function File: estimate_parameter()

Calculate statistics for historic time series. This script is not used in octarisk process, but it should simplify the parameter estimation for input parameters required for risk factor definitions.
The time series file (columns: risk factors, rows: historic values) will be generated by an python script (to be done).
The following statistic parameter are calculated: mean, volatility, skewness, kurtosis for simple, geometric and lognormal distributed value. Moreover mean reversion rates and levels are calculated assuming ergodic and regression methods.