estimate_gpd: Rolling GPD Help Function
In MislavSag/mlfinance: Machine learning in finance
Description
Usage
Arguments
Value
Description
Help function for calculating GPD features.
Usage
1
estimate_gpd(x, hill_threshold = 0.02, suffix = "_right")
Arguments
x
vector of (filtered) returns
hill_threshold
look at ptsuite package
suffix
suffix for column names
Value
Data.table with new features
MislavSag/mlfinance documentation built on Sept. 14, 2021, 1:11 p.m.
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Description Usage Arguments Value
Description
Help function for calculating GPD features.
Usage
1 | estimate_gpd(x, hill_threshold = 0.02, suffix = "_right")
|
Arguments
x |
vector of (filtered) returns |
hill_threshold |
look at ptsuite package |
suffix |
suffix for column names |
Value
Data.table with new features
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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