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-4.7-any)BSS_0.1.0.tar.gz(r-4.6-any)
BSS_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
BSS/json (API)

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

On CRAN:

Conda:

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 199 downloads 10 mentions 25 exports 24 dependencies

Last updated from:45912298ac. Checks:4 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK99
source / vignettesOK180
linux-release-x86_64OK116
wasm-releaseOK124

Exports:a1Coefficientsa3CoefficientsbssAlphaFitcalculateKcalculateK1calculateK2calculateK3calculateK4estimateAccumulatedVolatilityestimateAccumulatedVolatilityCIestimateKexponentiatedOrnsteinUhlenbeckgammaKernelBSSgammaKernelBSSFitgammaKernelCorrelationgammaKernelTaugammaKernelTauAsymptotichybridSchemeCovarianceMatrixpowerKernelBSSpowerKernelBSSFitpowerKernelCorrelationpowerKernelTaurealisedPowerVariationrhoFractionGaussiantauNonParametricEstimate

Dependencies:apeclicontfraccpp11deSolvedigestellipticfastmatchgenericsgluehypergeoigraphlatticelifecyclemagrittrMASSMatrixnlmephangornpkgconfigquadprogRcpprlangvctrs