getCriticalValues

getCriticalValues.DBH

Method for DBH objects to calculate the critical value for the presence of a burst of drift.
The critical value is that of the test described in appendix B in Christensen Oomen Reno

Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, detect price jumps and investigate microstructure noise and intraday
periodicity. A detailed vignette can be found in the open-access paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

getCriticalValues function

<dl><dt>x</dt>
<dd>object of class <code>DBH</code></dd>
<dt>alpha</dt>
<dd>numeric denoting the confidence level for the critical value. Possible values are <code>c(0.9 0.95 0.99 0.995 0.999 0.9999)</code></dd></dl>

Arguments

Author

Get critical value for the drift burst hypothesis t-statistic — getCriticalValues

<dl>

<dt>x</dt>
<dd>object of class <code>DBH</code></dd>


<dt>alpha</dt>
<dd>numeric denoting the confidence level for the critical value. Possible values are <code>c(0.9 0.95 0.99 0.995 0.999 0.9999)</code></dd>

</dl>

getCriticalValues: Get critical value for the drift burst hypothesis t-statistic

Description

Usage

Arguments

Author

References