realisedPowerVariation: Realised power variation
In BSS: Brownian Semistationary Processes
Description
Usage
Arguments
Value
View source: R/bss_functions.R
Description
realisedPowerVariation calculates the realised power variation for a BSS process, which is then
used as a component of estimating the accumulated volatility process.
Usage
1
realisedPowerVariation(Y, p)
Arguments
Y
a vector of observations of a BSS process.
p
the power variation to be calculated.
Value
The function returns the sum of the pth powers of the absolute first differences of the BSS process.
BSS documentation built on July 2, 2020, 1:31 a.m.
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Description Usage Arguments Value
View source: R/bss_functions.R
Description
realisedPowerVariation calculates the realised power variation for a BSS process, which is then
used as a component of estimating the accumulated volatility process.
Usage
1 | realisedPowerVariation(Y, p)
|
Arguments
Y |
a vector of observations of a BSS process. |
p |
the power variation to be calculated. |
Value
The function returns the sum of the pth powers of the absolute first differences of the BSS process.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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