DriftBurstHypothesis
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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Description file content
- Package
- DriftBurstHypothesis
- Type
- Package
- Title
- Calculates the Test-Statistic for the Drift Burst Hypothesis
- Version
- 0.3.0
- Date
- 2019-11-28
- Author
- Emil Sjoerup
- Maintainer
- Emil Sjoerup
- Description
- Calculates the T-Statistic for the drift burst hypothesis from the working paper Christensen, Oomen and Reno (2018)
- License
- GPL-3
- BugReports
- https://github.com/emilsjoerup/DriftBurstHypothesis/issues
- URL
- Depends
- R (>= 3.5.0)
- Imports
- Rcpp (>= 0.12.18), xts, zoo,
- LinkingTo
- Rcpp, RcppArmadillo
- Suggests
- testthat
- NeedsCompilation
- yes
- Packaged
- 2019-11-28 19:07:36 UTC; emils
- Repository
- CRAN
- Date/Publication
- 2019-11-28 22:10:09 UTC
install.packages('DriftBurstHypothesis')
0.3.0
17 days ago
https://github.com/emilsjoerup/DriftBurstHypothesis
Emil Sjoerup
GPL-3
Depends on
R (>= 3.5.0)