driftburst_tstat: Drift-Burst t-statistic Function computes drift-burst...

In muffin1974/lobster: This package helps to handle, read-in and analyze data from the lobster high-frequency data universe

Usage

driftburst_tstat(lobster, bndw_m = 300, bndw_v = 5 * bndw_m,
  grid = seq(from = lobster$Time[1] + bndw_v, to =
  lobster$Time[nrow(lobster)], by = 60))

Arguments

lobster	Data-frame from lobster
bndw_m	bandwidth (mean)
bndw_v	bandwidth(volatility)
grid	Testing time (default = once per Minute (after discarding the first 5))

Value

vector with t stat values

muffin1974/lobster documentation built on May 23, 2019, 8:20 a.m.