mathsoul/BABProject — pull request #2 by dpuelz (2014-12-18 00:38:23+00:00)
Title: Hey man, I've branched from your Test Branch and added a test code - check it out

DavidTest.R is self contained, so try to play with it.

This code uses your functions for a and b, slightly modified, and directly samples from an gamma distribution for the volatility.

It looks like things are okay, but there is some bias for certain samples. A next step would be to reparameterize the AR(1) process.