| Name : R-INFOSET
| |
| Version : 4.0.6
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp154.1.1
| Date : 2024-09-11 06:51:51
|
| Group : Development/Libraries/Other
| Source RPM : R-INFOSET-4.0.6-lp154.1.1.src.rpm
|
| Size : 1.01 MB
| |
| Packager : https://www_suse_com/
| |
| Summary : Computing a New Informative Distribution Set of Asset Returns
|
Description :
Estimation of the most-left informative set of gross returns (i.e., the
informative set). The procedure to compute the informative set adjusts
the method proposed by Mariani et al. (2022a)
< doi:10.1007/s11205-020-02440-6> and Mariani et al. (2022b)
< doi:10.1007/s10287-022-00422-2> to gross returns of financial assets.
This is accomplished through an adaptive algorithm that identifies
sub-groups of gross returns in each iteration by approximating their
distribution with a sequence of two-component log-normal mixtures.
These sub-groups emerge when a significant change in the distribution
occurs below the median of the financial returns, with their boundary
termed as the “change point\" of the mixture. The process concludes when
no further change points are detected. The outcome encompasses
parameters of the leftmost mixture distributions and change points of
the analyzed financial time series.
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RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.4/x86_64 |
