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 = '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 184 downloads 10 mentions 25 exports 24 dependencies

Last updated 5 years agofrom:45912298ac. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 19 2025
R-4.5-linuxOKMar 19 2025
R-4.4-linuxOKMar 19 2025

Exports:a1Coefficientsa3CoefficientsbssAlphaFitcalculateKcalculateK1calculateK2calculateK3calculateK4estimateAccumulatedVolatilityestimateAccumulatedVolatilityCIestimateKexponentiatedOrnsteinUhlenbeckgammaKernelBSSgammaKernelBSSFitgammaKernelCorrelationgammaKernelTaugammaKernelTauAsymptotichybridSchemeCovarianceMatrixpowerKernelBSSpowerKernelBSSFitpowerKernelCorrelationpowerKernelTaurealisedPowerVariationrhoFractionGaussiantauNonParametricEstimate

Dependencies:apeclicontfraccpp11deSolvedigestellipticfastmatchgenericsgluehypergeoigraphlatticelifecyclemagrittrMASSMatrixnlmephangornpkgconfigquadprogRcpprlangvctrs

Citation

To cite package ‘BSS’ in publications use:

Murray P (2020). BSS: Brownian Semistationary Processes. R package version 0.1.0, https://CRAN.R-project.org/package=BSS.

Corresponding BibTeX entry: 

  @Manual{,
    title = {BSS: Brownian Semistationary Processes},
    author = {Phillip Murray},
    year = {2020},
    note = {R package version 0.1.0},
    url = {https://CRAN.R-project.org/package=BSS},
  }