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stochcorr (version 0.0.1)

Stochastic Correlation Modelling via Circular Diffusion

Description

Performs simulation and inference of diffusion processes on circle. Stochastic correlation models based on circular diffusion models are provided. For details see Majumdar, S. and Laha, A.K. (2024) "Diffusion on the circle and a stochastic correlation model" .

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Install

install.packages('stochcorr')

Monthly Downloads

152

Version

0.0.1

License

GPL (>= 3)

Maintainer

Sourav Majumdar

Last Published

April 2nd, 2025

Functions in stochcorr (0.0.1)

circ.bootstrap

Bootstrap for circdiff
ftse2020

2020 USD/GBP and FTSE250 data
dcbm

Probability transition density function for Circular Brownian Motion
dvmp

Probability transition density function for von Mises process
circdiff

Estimation of circular diffusion models
nikkei2020

2020 USD/JPY and Nikkei data
rtraj.vmp

Simulate von Mises process
stoch.bootstrap

Bootstrap for stochcorr
stochcorr

Estimate a stochastic correlation model
s&p2020

2020 EUR/USD and S&P500 data
stochcorr.sim

Simulate stochastic correlation model
wind

Wind direction data
nse2020

2020 USD/INR and NIFTY data
rtraj.cbm

Simulate circular Brownian motion