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pvar (version 1.0.9)

p-variation, calculation and application

Description

The calculation of p-variation of the finite sample data

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Version

Install

install.packages('pvar')

Monthly Downloads

234

Version

1.0.9

License

GPL-2

Maintainer

Vygantas Butkus

Last Published

December 11th, 2013

Functions in pvar (1.0.9)

MovingSum

Moving sum

BridgeT

Bridge transformation

PvarQuantile

Quantiles and probabilities of p-variation

pvar

p-variation calculation

pvar-package

p-variation calculation and application

FindAnalysingPoints

Finds the points that should by analysed.

DropMidAll

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

PvarExtraFun

Extra functions for pvar objects.

PvarBreakTest

Structural break test

Sum_p

p-variation summation function.

ChangePointsId

Change Points of a numeric vector.

pvarPseudoMonotonic

p-variation for a special form of x

PvarExtraFun_dev

Extra functions for p-variation that are under development.

SplitByExtremum

Split vector according extremum (minimum and maximum).

DataSets

Data sets of Monte-Carlo simulations results

ConcatenateStrings

Concatenate strings

ProcessGenerators

Random process generators