fit_bm_compound_poisson: Fit Brownian motion mixture with Gaussian jumps.

In ntwk: Statistical Inference for Network Time Series

Description

Fit Brownian motion mixture with Gaussian jumps.

Usage

fit_bm_compound_poisson(data, mesh_size, thresholds = NA, jump_quantile = 0.9)

Arguments

data	Data to fit (increments).
mesh_size	Time difference of data.
thresholds	Jump thresholds (Defaults to NA, no filtering).
jump_quantile	Quantile above which a data vector is a jump.

Value

List of fitted Generalised Hyperbolic distribution.

Examples

n <- 10000
delta_time <- 0.01
data <- cbind(ghyp::rghyp(n, ghyp::ghyp()), ghyp::rghyp(n, ghyp::ghyp()))
fit_bm_compound_poisson(data = data, mesh_size = delta_time)

ntwk documentation built on Sept. 13, 2021, 9:07 a.m.