Brownian Semistationary Processes

Efficient simulation of Brownian semistationary (BSS) processes using the hybrid simulation scheme, as described in Bennedsen, Lunde, Pakkannen (2017) , as well as functions to fit BSS processes to data, and functions to estimate the stochastic volatility process of a BSS process.


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Reference manual

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install.packages("BSS")

0.1.0 by Phillip Murray, 4 months ago


Browse source code at https://github.com/cran/BSS


Authors: Phillip Murray [aut, cre]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports hypergeo, MASS, phangorn

Suggests testthat


See at CRAN