#' @title Compute the Md statistic. | |
#' | |
#' @description Compute the Md statistic. The Md statistic is the difference | |
#' between two estimate values for Sigma computed using the calibrateSigma | |
#' function for sampling intervals 1 and the estimate value for Sima computed | |
#' using the CalibrateSigmaOverlapping function for sampling inveral q. | |
#' This statistic should converge to zero. | |
#' | |
#' @inheritParams calibrateSigma | |
#' @return Md double :: The Md statistic defined by Lo and MacKinlay. | |
#' | |
mDifferences <- function(X, q, annualize = FALSE, unbiased = TRUE) { | |
# Estimate the value of sigma at sampling intervals 1 and q. | |
sigmaA <- calibrateSigma(X, q = 1, annualize, unbiased) | |
sigmaB <- calibrateSigmaOverlapping(X, q = q, annualize, unbiased) | |
Md <- sigmaB - sigmaA | |
return(Md) | |
} |
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