DriftBurstHypothesis0.4.0.1 package

Calculates the Test-Statistic for the Drift Burst Hypothesis

DBHmethods

Methods for the DBH class

DriftBurstHypothesis-package

tools:::Rd_package_title("DriftBurstHypothesis")

driftBursts

Drift Bursts

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Calculates the T-Statistic for the drift burst hypothesis from the working paper Christensen, Oomen and Reno (2018) <DOI:10.2139/ssrn.2842535>. The authors' MATLAB code is available upon request, see: <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2842535>.

  • Maintainer: Emil Sjoerup
  • License: GPL-3
  • Last published: 2020-07-13

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