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pvar (version 1.0.6)

p-variation

Description

The calculation of p-variation. Now it is in testing.

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Version

Install

install.packages('pvar')

Monthly Downloads

234

Version

1.0.6

License

GPL-2

Maintainer

Vygantas Butkus

Last Published

September 28th, 2012

Functions in pvar (1.0.6)

Sum_p

p-variation summation function.
DataSets

Data sets of Monte-Carlo simulations results
SplitByExtremum

Split vector according extremum (minimum and maximum).
pvar-package

p-variation calculation and it's application
PvarExtraFun

Extra functions for pvar objects.
ConcatenateStrings

Concatenate strings
BBT

Brownian Bridge transformation
PvarBreakTest

Structural break test
PvarExtraFun_dev

Extra functions for p-variation that are under development.
pvarMon

p-variation for a special form of x
ChangePointsId

Change Points of a numeric vector.
DropMidAll

Drop all mid points that appier to be insignificant is 'small' intervals.
pvar

p-variation calculation
MovingSum

Moving sum
FindAnalysingPoints

Finds the points that should by analysed.
ProcessGenerators

Random process generators
PvarQuantile

Quantiles and probabilities of p-variation