Calculates the Test-Statistic for the Drift Burst Hypothesis
Calculates the T-Statistic for the drift burst hypothesis from the working paper Christensen, Oomen and Reno (2018) <DOI:10.2139/ssrn.2842535>. The authors' MATLAB code is available upon request, see: <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2842535>.
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install.packages('DriftBurstHypothesis')
0.3.0
17 days ago
https://github.com/emilsjoerup/DriftBurstHypothesis
Emil Sjoerup
GPL-3
R (>= 3.5.0)