cholCovrMRCov: #' @keywords internal zgamma <- function (x, y, gamma_power)...
In jonathancornelissen/highfrequency: Tools for Highfrequency Data Analysis
View source: R/internalRealizedMeasures.R
cholCovrMRCov R Documentation
#' @keywords internal
zgamma <- function (x, y, gamma_power)
if (x^2 < y)
out <- abs(x)^gamma_power
else
if (gamma_power == 1)
out <- 1.094 * sqrt(y)
if (gamma_power == 2)
out <- 1.207 * y
if (gamma_power == 4/3)
out <- 1.129 * y^(2/3)
return(out)
Description
#' @keywords internal
zgamma <- function (x, y, gamma_power)
if (x^2 < y)
out <- abs(x)^gamma_power
else
if (gamma_power == 1)
out <- 1.094 * sqrt(y)
if (gamma_power == 2)
out <- 1.207 * y
if (gamma_power == 4/3)
out <- 1.129 * y^(2/3)
return(out)
Usage
cholCovrMRCov(returns, delta = 0.1, theta = 1)
jonathancornelissen/highfrequency documentation built on Jan. 10, 2023, 7:29 p.m.
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View source: R/internalRealizedMeasures.R
| cholCovrMRCov | R Documentation |
#' @keywords internal zgamma <- function (x, y, gamma_power) if (x^2 < y) out <- abs(x)^gamma_power else if (gamma_power == 1) out <- 1.094 * sqrt(y) if (gamma_power == 2) out <- 1.207 * y if (gamma_power == 4/3) out <- 1.129 * y^(2/3) return(out)
Description
#' @keywords internal zgamma <- function (x, y, gamma_power) if (x^2 < y) out <- abs(x)^gamma_power else if (gamma_power == 1) out <- 1.094 * sqrt(y) if (gamma_power == 2) out <- 1.207 * y if (gamma_power == 4/3) out <- 1.129 * y^(2/3)
return(out)
Usage
cholCovrMRCov(returns, delta = 0.1, theta = 1)
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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