pin_confint: PIN confidence intervals

In anre005/pinbasic: Fast and Stable Estimation of the Probability of Informed Trading (PIN)

PIN confidence intervals

Description

Computes confidence intervals for the probability of informed trading by simulation

Usage

pin_confint(
  param = NULL,
  numbuys = NULL,
  numsells = NULL,
  method = "HAC",
  lower = rep(0, 5),
  upper = c(1, 1, rep(Inf, 3)),
  n = 10000,
  seed = NULL,
  level = 0.95,
  ncores = 1
)

Arguments

param	numeric: (named) vector of model parameters (valid names: 'alpha', 'delta', 'epsilon_b', 'epsilon_s', 'mu'), length must equal 5
numbuys	numeric: vector of daily buys
numsells	numeric: vector of daily sells
method	character Switch between algorithms for generating initial values, valid choices are: 'Grid', 'HAC' and 'HAC_Ref'
lower	numeric: lower bounds for optimization, must have length of 5
upper	numeric: upper bounds for optimization, must have length of 5
n	integer: Number of simulation runs, defaults to 10000
seed	interpreted as integer or NULL: defaults to NULL, for more details see set.seed
level	numeric: Confidence level, defaults to 0.95
ncores	integer: Number of cpu cores utilized in computation, defaults to 1

Details

If names are not set for param or one or more of the vector names do not match the valid choices, they are internally set to 'alpha', 'delta', 'epsilon_b', 'epsilon_s', 'mu' (in this order).
By default, only one core is utilized in computations (ncores = 1). Confidence intervals can also be calculated in parallel, however, this only pays off for large values of n.

Value

numeric: confidence interval

anre005/pinbasic documentation built on May 6, 2022, 4:40 a.m.