Brownian Semistationary Processes
![[R logo]](../../../doc/html/Rlogo.svg)
![[Up]](../../../doc/html/left.jpg)
![[Top]](../../../doc/html/up.jpg)
Documentation for package ‘BSS’ version 0.1.0
Help Pages
| bssAlphaFit | Estimating the smoothness parameter of a Brownian semistationary process |
| estimateAccumulatedVolatility | Estimate accumulated volatility processes |
| estimateAccumulatedVolatilityCI | Estimate confidence interval for the accumulated volatility processes |
| exponentiatedOrnsteinUhlenbeck | Simulate an exponentiated OU volatility process |
| gammaKernelBSS | Simulation of gamma kernel Brownian semistationary processes |
| gammaKernelBSSFit | Fitting gamma kernel Brownian semistationary processes |
| gammaKernelCorrelation | Autocorrelation function for the gamma kernel |
| gammaKernelTau | Scale factor for the gamma kernel |
| gammaKernelTauAsymptotic | Asymptotic scale factor for the gamma kernel |
| hybridSchemeCovarianceMatrix | Hybrid scheme covariance matrix |
| powerKernelBSS | Simulation of power law kernel Brownian semistationary processes |
| powerKernelBSSFit | Fitting power law kernel Brownian semistationary processes |
| powerKernelCorrelation | Autocorrelation function for the power law kernel |
| powerKernelTau | Scale factor for the power law kernel |
| realisedPowerVariation | Realised power variation |
| tauNonParametricEstimate | Non-parametric estimate of the scale factor |