DriftBurstHypothesis

Calculates the Test-Statistic for the Drift Burst Hypothesis

CRAN Package

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.

  • Version0.4.0.1
  • R version≥ 3.5.0
  • LicenseGPL-3
  • Needs compilation?Yes
  • Last release07/13/2020

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