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ACDm (version 1.0.3)
Tools for Autoregressive Conditional Duration Models
Description
Package for Autoregressive Conditional Duration (ACD, Engle and Russell, 1998) models. Creates trade, price or volume durations from transactions (tic) data, performs diurnal adjustments, fits various ACD models and tests them.
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1.0.4.3
1.0.4.2
1.0.4.1
1.0.4
1.0.3
1.0.2
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Install
install.packages('ACDm')
Monthly Downloads
588
Version
1.0.3
License
GPL (>= 2)
Maintainer
Markus Belfrage
Last Published
December 3rd, 2015
Functions in ACDm (1.0.3)
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GeneralizedGammaDist
The generelized Gamma distribution
DataFiles
Time Series Data Sets
Discreetly mixed Q-Weibull and ordinary Weibull
Discreet mix of the q-Weibull and the ordinary Weibull distributions
resiDensityAcd
Residual Density Histogram
plotDescTrans
Transactions plots
acdFit-methods
Methods for class acdFit
qqplotAcd
Quantile-Quantile plot of the residuals
standardizeResi
Residual standardization
Finite mixture of inverse Gaussian Distributions
Finite mixture of inverse Gaussian Distribution
dgenf
The generalized F distribution
acf_acd
Autocorrelation function plots for ACD models
testTVACD
LM test against Time-Varying ACD models (Meitz and Terasvirta, 2006)
qWeibullDist
The q-Weibull distribution
plotScatterAcd
Scatter plot for ACD models
sim_ACD
ACD simulation
computeDurations
Durations computation
diurnalAdj
Dirunal adjustment for durations
BurrDist
The Burr Distribution
testRmACD
LM test of no Remaining ACD (Meitz and Terasvirta, 2006)
plotRollMeanAcd
Plots rolling means of durations
plotHazard
Hazard function plot
acdFit
ACD (Autoregressive Conditional Duration) Model Fitting
Discreetly mixed Q-Weibull and exponential
Discreet mix of the q-Weibull and the exponential distributions
testSTACD
LM test against Smooth Transition ACD models (Meitz and Terasvirta, 2006)
ACDm-package
ACD Modelling
plotHistAcd
Mean duration plot