Efficient simulation of Brownian semistationary (BSS) processes using the hybrid simulation scheme, as described in Bennedsen, Lunde, Pakkannen (2017) <doi:10.48550/arXiv.1507.03004>, as well as functions to fit BSS processes to data, and functions to estimate the stochastic volatility process of a BSS process.
Version: 0.1.0 Imports: hypergeo, MASS, phangorn Suggests: testthat Published: 2020-06-24 DOI: 10.32614/CRAN.package.BSS Author: Phillip Murray [aut, cre] Maintainer: Phillip Murray <phillip.murray18 at imperial.ac.uk> License: MIT + file LICENSE NeedsCompilation: no CRAN checks: BSS results Documentation: Reference manual: BSS.html , BSS.pdf Downloads: Package source: BSS_0.1.0.tar.gz Windows binaries: r-devel: BSS_0.1.0.zip, r-release: BSS_0.1.0.zip, r-oldrel: BSS_0.1.0.zip macOS binaries: r-release (arm64): BSS_0.1.0.tgz, r-oldrel (arm64): BSS_0.1.0.tgz, r-release (x86_64): BSS_0.1.0.tgz, r-oldrel (x86_64): BSS_0.1.0.tgz Linking:Please use the canonical form https://CRAN.R-project.org/package=BSS to link to this page.
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