screamer.js
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    Function RollingOU

    • Rolling MLE fit of a mean-reverting Ornstein-Uhlenbeck process.

      Parameters

      • windowSize: number = 20

        Trailing-window length.

      • output: string = "mrr"

        Which fitted parameter to return: "mrr" = mean-reversion rate, "mean" = long-run mean, "relmean" = mean relative to current value, "std" = noise standard deviation.

      • startPolicy: string = "strict"

        Warmup behaviour.

      Returns ScreamerOp

      https://screamer.readthedocs.io/en/latest/ for the Python reference and full details.