OCIDR: Convert Original Price Data to OCIDRs

In FTSgof: White Noise and Goodness-of-Fit Tests for Functional Time Series

Convert Original Price Data to OCIDRs

Description

This function converts original price data into over-night cumulative intraday return curves (OCIDRs).

Usage

OCIDR(f_data)

Arguments

f_data

A J \times N matrix of functional time series data, where J is the number of discrete points in a grid and N is the sample size.

Value

A matrix of OCIDRs with dimensions J \times (N-1), where J is the number of discrete grid points and N-1 is the adjusted sample size.

Examples

data(sp500)
OCIDR(sp500)

FTSgof documentation built on Oct. 4, 2024, 1:06 a.m.