DriftBurstHypothesis (0.2.0)

Calculates the Test-Statistic for the Drift Burst Hypothesis.

https://github.com/emilsjoerup/DriftBurstHypothesis
http://cran.r-project.org/web/packages/DriftBurstHypothesis

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, testthat

Released 6 months ago.