dot-compute_EH: Compute EH cross-moment for leverage estimation
In wARMASVp: Winsorized ARMA Estimation for Higher-Order Stochastic Volatility Models
.compute_EH R Documentation
Compute EH cross-moment for leverage estimation
Description
EH = demeaned sample cross-moment (1/(T-2)) \sum(|y_t| - \bar{|y|})(y_{t-1} - \bar{y}).
Usage
.compute_EH(y, rho_type = "pearson")
Arguments
y
Numeric vector of observations
rho_type
"pearson" or "kendall"
Value
EH value
wARMASVp documentation built on May 15, 2026, 5:07 p.m.
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| .compute_EH | R Documentation |
Compute EH cross-moment for leverage estimation
Description
EH = demeaned sample cross-moment (1/(T-2)) \sum(|y_t| - \bar{|y|})(y_{t-1} - \bar{y}).
Usage
.compute_EH(y, rho_type = "pearson")
Arguments
y |
Numeric vector of observations |
rho_type |
"pearson" or "kendall" |
Value
EH value
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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