ntwk (version 1.0.0)

fit_bm_compound_poisson: Fit Brownian motion mixture with Gaussian jumps.

Description

Fit Brownian motion mixture with Gaussian jumps.

Usage

fit_bm_compound_poisson(data, mesh_size, thresholds = NA, jump_quantile = 0.9)

Arguments

data

Data to fit (increments).

mesh_size

Time difference of data.

thresholds

Jump thresholds (Defaults to NA, no filtering).

jump_quantile

Quantile above which a data vector is a jump.

Value

List of fitted Generalised Hyperbolic distribution.

Examples

# NOT RUN {
n <- 10000
delta_time <- 0.01
data <- cbind(ghyp::rghyp(n, ghyp::ghyp()), ghyp::rghyp(n, ghyp::ghyp()))
fit_bm_compound_poisson(data = data, mesh_size = delta_time)
# }