Computation of numerical standard errors in R
nse (Ardia and Bluteau, 2017) is an R package for computing the numerical standard error (NSE), an estimate
of the standard deviation of a simulation result, if the simulation experiment were to be repeated
many times. The package provides a set of wrappers around several R packages, which give access to
more than thirty NSE estimators, including batch means estimators, initial sequence
estimators, spectrum at zero estimators, heteroskedasticity and autocorrelation
consistent (HAC) kernel estimators and bootstrap estimators. See Ardia and Bluteau (2017) for details. The full set of methods available in
nse is summarized in Ardia et al. (2018) together with several examples of applications in econometrics and finance.
The latest stable version of
nse is available at https://cran.r-project.org/package=nse.
The latest development version of
nse is available at https://github.com/keblu/nse.
nse you agree to the following rules:
1) You must cite Ardia et al. (2018) in working papers and published papers that use
2) You must place the following URL in a footnote to help others find
3) You assume all risk for the use of
Ardia, D., Bluteau, K., Hoogerheide, L.F. (2018). Methods for computing numerical standard errors: Review and application to Value-at-Risk estimation. Journal of Time Series Econometrics 10(2) pp 1-9. https://doi.org/10.1515/jtse-2017-0011 https://doi.org/10.2139/ssrn.2741587
Ardia, D., Bluteau, K. (2017). nse: Computation of numerical standard errors in R. Journal of Open Source Software 10(2). https://doi.org/10.21105/joss.00172
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