Displaying 2 results from an estimated 2 matches for "aggrv".
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aggr
2012 Jul 19
1
Change log(J) to log(J+1) to stop log(0) from occurring in harModel
...this as I am very naive with R still.
# Get the matrix for estimation of linear model
maxp = max(periods,periodsJ); #max number of aggregation levels
if(!is.null(leverage)){ maxp = max(maxp,leverage) }
n = length(RM1); #Number of Days
# Aggregate RV:
RVmatrix1 = aggRV(RM1,periods);
if( nest==2 ){ RVmatrix2 = aggRV(RM2,periods); } # In case a jumprobust
estimator is supplied
# Aggregate and subselect y:
y = aggY(RM1,h,maxp);
# Only keep useful parts:
x1 = RVmatrix1[(maxp:(n-h)),];
if( nest==2 ){ x2 = RVmatrix2[(maxp:(n-h)),]; } # In case...
2012 Jul 19
1
Switching log(J) to log(J+1) to avoid log(0) in HAR-RVJ model
...can input realized
measures.") }
}
# Get the matrix for estimation of linear model
maxp = max(periods,periodsJ); #max number of aggregation levels
if(!is.null(leverage)){ maxp = max(maxp,leverage) }
n = length(RM1); #Number of Days
# Aggregate RV:
RVmatrix1 = aggRV(RM1,periods);
if( nest==2 ){ RVmatrix2 = aggRV(RM2,periods); } # In case a jumprobust
estimator is supplied
# Aggregate and subselect y:
y = aggY(RM1,h,maxp);
# Only keep useful parts:
x1 = RVmatrix1[(maxp:(n-h)),];
if( nest==2 ){ x2 = RVmatrix2[(maxp:(n-h)),]; } # In case a ju...