Package: PPMiss 0.1.1

PPMiss: Copula-Based Estimator for Long-Range Dependent Processes under Missing Data

Implements the copula-based estimator for univariate long-range dependent processes, introduced in Pumi et al. (2023) <doi:10.1007/s00362-023-01418-z>. Notably, this estimator is capable of handling missing data and has been shown to perform exceptionally well, even when up to 70% of data is missing (as reported in <arxiv:2303.04754>) and has been found to outperform several other commonly applied estimators.

Authors:Taiane Schaedler Prass [aut, cre, com], Guilherme Pumi [aut, ctb]

PPMiss_0.1.1.tar.gz
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PPMiss.pdf |PPMiss.html✨
PPMiss/json (API)
NEWS

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12 exports 0.09 score 13 dependencies 150 downloads

Last updated 1 years agofrom:78f3c663b2. Checks:OK: 9. Indexed: yes.

Exports:amharfima.coefsd.fitdCtheta_amhdCtheta_fgmdCtheta_frankdCtheta_gaussfgmfrankgaussk1funkdens

Dependencies:ADGofTestcolorspacecopulagsllatticeMatrixmvtnormnumDerivpcaPPpracmapsplinestabledistzoo