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BSS: Brownian Semistationary Processes

Efficient simulation of Brownian semistationary (BSS) processes using the hybrid simulation scheme, as described in Bennedsen, Lunde, Pakkannen (2017) <doi:10.48550/arXiv.1507.03004>, 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
DOI: 10.32614/CRAN.package.BSS
Author: Phillip Murray [aut, cre]
Maintainer: Phillip Murray <phillip.murray18 at imperial.ac.uk>
License: MIT + file LICENSE
NeedsCompilation: no
CRAN checks: BSS results

Documentation:

Reference manual: BSS.pdf

Downloads:

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-oldrel (arm64): BSS_0.1.0.tgz, r-release (x86_64): BSS_0.1.0.tgz, r-oldrel (x86_64): BSS_0.1.0.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=BSS to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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