BSS: Brownian Semistationary Processes

Efficient simulation of Brownian semistationary (BSS) processes using the hybrid simulation scheme, as described in Bennedsen, Lunde, Pakkannen (2017) <arXiv:1507.03004v4>, 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
Author: Phillip Murray [aut, cre]
Maintainer: Phillip Murray <phillip.murray18 at imperial.ac.uk>
License: MIT + file LICENSE
NeedsCompilation: no
CRAN checks: BSS results

Downloads:

Reference manual: BSS.pdf
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-release (x86_64): BSS_0.1.0.tgz, r-oldrel: BSS_0.1.0.tgz

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