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ACDm (version 1.0.4.3)
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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Version
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
407
Version
1.0.4.3
License
GPL (>= 2)
Maintainer
Markus Belfrage
Last Published
February 20th, 2024
Functions in ACDm (1.0.4.3)
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Discreetly mixed Q-Weibull and ordinary Weibull
Discreet mix of the q-Weibull and the ordinary Weibull distributions
plotHistAcd
Mean duration plot
qWeibullDist
The q-Weibull distribution
plotDescTrans
Transactions plots
plotLL
Plots the response surface of the log likelihood of a fitted model.
plotHazard
Hazard function plot
Finite mixture of inverse Gaussian Distributions
Finite mixture of inverse Gaussian Distribution
plotRollMeanAcd
Plots rolling means of durations
Discreetly mixed Q-Weibull and exponential
Discreet mix of the q-Weibull and the exponential distributions
qqplotAcd
Quantile-Quantile plot of the residuals
resiDensityAcd
Residual Density Histogram
plotScatterAcd
Scatter plot for ACD models
testTVACD
LM test against Time-Varying ACD models (Meitz and Terasvirta, 2006)
testSTACD
LM test against Smooth Transition ACD models (Meitz and Terasvirta, 2006)
testRmACD
LM test of no Remaining ACD (Meitz and Terasvirta, 2006)
standardizeResi
Residual standardization
sim_ACD
ACD simulation
diurnalAdj
Dirunal adjustment for durations
dgenf
The generalized F distribution
computeDurations
Durations computation
ACDm-package
ACD Modelling
acdFit
ACD (Autoregressive Conditional Duration) Model Fitting
acdFit-methods
Methods for class acdFit
GeneralizedGammaDist
The generelized Gamma distribution
BurrDist
The Burr Distribution
DataFiles
Time Series Data Sets
acf_acd
Autocorrelation function plots for ACD models