realisedPowerVariation: Realised power variation
In phillipmurray/BSS: Brownian Semistationary Processes
Description
Usage
Arguments
Value
View source: R/bss_functions.R
Description
realisedPowerVariation calculates the realised power variation for a BSS process, which is then
used as a component of estimating the accumulated volatility process.
Usage
1
realisedPowerVariation(Y, p)
Arguments
Y
a vector of observations of a BSS process.
p
the power variation to be calculated.
Value
The function returns the sum of the pth powers of the absolute first differences of the BSS process.
phillipmurray/BSS documentation built on June 29, 2020, 11:34 a.m.
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Description Usage Arguments Value
View source: R/bss_functions.R
Description
realisedPowerVariation calculates the realised power variation for a BSS process, which is then
used as a component of estimating the accumulated volatility process.
Usage
1 | realisedPowerVariation(Y, p)
|
Arguments
Y |
a vector of observations of a BSS process. |
p |
the power variation to be calculated. |
Value
The function returns the sum of the pth powers of the absolute first differences of the BSS process.
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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