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:
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')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 4 years agofrom:45912298ac. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Sep 01 2024 |
| R-4.5-linux | OK | Sep 01 2024 |
Exports:a1Coefficientsa3CoefficientsbssAlphaFitcalculateKcalculateK1calculateK2calculateK3calculateK4estimateAccumulatedVolatilityestimateAccumulatedVolatilityCIestimateKexponentiatedOrnsteinUhlenbeckgammaKernelBSSgammaKernelBSSFitgammaKernelCorrelationgammaKernelTaugammaKernelTauAsymptotichybridSchemeCovarianceMatrixpowerKernelBSSpowerKernelBSSFitpowerKernelCorrelationpowerKernelTaurealisedPowerVariationrhoFractionGaussiantauNonParametricEstimate
Dependencies:apeclicontfraccpp11deSolvedigestellipticfastmatchgenericsgluehypergeoigraphlatticelifecyclemagrittrMASSMatrixnlmephangornpkgconfigquadprogRcpprlangvctrs
