cholCovrMRCov {highfrequency} | R Documentation |
#' @keywords internal zgamma <- function (x, y, gamma_power) if (x^2 < y) out <- abs(x)^gamma_power else if (gamma_power == 1) out <- 1.094 * sqrt(y) if (gamma_power == 2) out <- 1.207 * y if (gamma_power == 4/3) out <- 1.129 * y^(2/3) return(out)
Description
#' @keywords internal zgamma <- function (x, y, gamma_power) if (x^2 < y) out <- abs(x)^gamma_power else if (gamma_power == 1) out <- 1.094 * sqrt(y) if (gamma_power == 2) out <- 1.207 * y if (gamma_power == 4/3) out <- 1.129 * y^(2/3)
return(out)
Usage
cholCovrMRCov(returns, delta = 0.1, theta = 1)
[Package highfrequency version 1.0.1 Index]