Package: BSS 0.1.0

Phillip Murray

BSS: Brownian Semistationary Processes

Efficient simulation of Brownian semistationary (BSS) processes using the hybrid simulation scheme, as described in Bennedsen, Lunde, Pakkannen (2017) <arxiv:1507.03004v4>, as well as functions to fit BSS processes to data, and functions to estimate the stochastic volatility process of a BSS process.

Authors:Phillip Murray [aut, cre]

BSS_0.1.0.tar.gz
BSS_0.1.0.tar.gz(r-4.5-noble)BSS_0.1.0.tar.gz(r-4.4-noble)
BSS_0.1.0.tgz(r-4.4-emscripten)BSS_0.1.0.tgz(r-4.3-emscripten)
BSS.pdf |BSS.html✨
BSS/json (API)

# Install 'BSS' in R:
install.packages('BSS', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.00 score 2 scripts 146 downloads 10 mentions 25 exports 24 dependencies

Last updated 5 years agofrom:45912298ac. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 19 2024
R-4.5-linuxOKDec 19 2024

Exports:a1Coefficientsa3CoefficientsbssAlphaFitcalculateKcalculateK1calculateK2calculateK3calculateK4estimateAccumulatedVolatilityestimateAccumulatedVolatilityCIestimateKexponentiatedOrnsteinUhlenbeckgammaKernelBSSgammaKernelBSSFitgammaKernelCorrelationgammaKernelTaugammaKernelTauAsymptotichybridSchemeCovarianceMatrixpowerKernelBSSpowerKernelBSSFitpowerKernelCorrelationpowerKernelTaurealisedPowerVariationrhoFractionGaussiantauNonParametricEstimate

Dependencies:apeclicontfraccpp11deSolvedigestellipticfastmatchgenericsgluehypergeoigraphlatticelifecyclemagrittrMASSMatrixnlmephangornpkgconfigquadprogRcpprlangvctrs