CRAN/E | BSS

BSS

Brownian Semistationary Processes

Installation

About

Efficient simulation of Brownian semistationary (BSS) processes using the hybrid simulation scheme, as described in Bennedsen, Lunde, Pakkannen (2017) , as well as functions to fit BSS processes to data, and functions to estimate the stochastic volatility process of a BSS process.

Key Metrics

Version 0.1.0
Published 2020-06-24 1190 days ago
Needs compilation? no
License MIT
License File
CRAN checks BSS results

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Maintainer

Maintainer

Phillip Murray

phillip.murray18@imperial.ac.uk

Authors

Phillip Murray

aut / cre

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Imports

hypergeo
MASS
phangorn

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