DriftBurstHypothesis (0.1.2)

Calculates the Test-Statistic for the Drift Burst Hypothesis.


Calculates the T-Statistic for the drift burst hypothesis from the working paper Christensen, Oomen and Reno (2018) . The authors' MATLAB code is available upon request, see: .

Maintainer: Emil Sjoerup
Author(s): Emil Sjoerup

License: GPL-3

Uses: Rcpp, xts, zoo

Released 12 months ago.