calculate the optimal block size

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Description

by Algorithm 3.1 in vignette on page 5

Usage

1
2
blockSizeCalibrate(ret, b_vec = as.integer(c(1, 3, 6, 10)), alpha = 0.05,
  M = 199L, K = 1000L, b_av = 5L, T_start = 50L)

Arguments

ret

refers to a returns matrix (columns = 2)

b_vec

see vignette

alpha

see vignette

M

see vignette

K

see vignette

b_av

see vignette

T_start

see vignette

Value

a list with probabilities and optimal block size

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