rKernel {realized} | R Documentation |
The kernel function that is used for the realized variance kernel estimators.
rKernel(x, type = 0)
x |
Value between [0,1] to calculate kernel weight |
type |
Type of kernel 0-11, or values from rKernel.available() |
Kernel value
Scott Payseur <spayseur@u.washington.edu>
Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde, and Neil Shephard. Regular and modified kernel-based estimators of integrated variance: The case with independent noise. Working Paper, 2004.
rKernel.available
,rv.kernel
,rc.kernel
# # Plot all available kernels # par(mfrow=c(3,4)) x <- (0:100)*.01 for(i in 1:length(rKernel.available())) plot(x=x,y=sapply(x, FUN="rKernel", type=rKernel.available()[i]), xlab="", ylab="", main=rKernel.available()[i],ylim=c(0,1))