jumptestday: Nonparametric jump test for each interval
In JumpTest: Financial Jump Detection
Description
Usage
Arguments
Value
Examples
Description
perform nonparametric jump test for each given interval (day)
Usage
1
jumptestday(ret, method = "BNS")
Arguments
ret
log return vector
method
jump test methods, chosen from "BNS", "Amed", and "Amin"
Value
stat
test statistics
pvalue
p-value
Examples
1
2
3
4
orip <- runif(100)
testres <- jumptestday(orip)
ts <- testres@stat
pv <- testres@pvalue
Example output
Loading required package: MASS
JumpTest documentation built on May 1, 2019, 9:45 p.m.
R Package Documentation
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Description Usage Arguments Value Examples
Description
perform nonparametric jump test for each given interval (day)
Usage
1 | jumptestday(ret, method = "BNS")
|
Arguments
ret |
log return vector |
method |
jump test methods, chosen from "BNS", "Amed", and "Amin" |
Value
stat |
test statistics |
pvalue |
p-value |
Examples
1 2 3 4 | orip <- runif(100)
testres <- jumptestday(orip)
ts <- testres@stat
pv <- testres@pvalue
|
Example output
Loading required package: MASS
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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