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# StuartGordonReid/MrVarianceRatio.R

Last active Jul 26, 2019
 #' @title Compute the Mr statistic. #' #' @description Compute the Mr statistic. The Md statistic is the ratio 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 minus 1. #' This statistic should converge to zero. #' #' @inheritParams calibrateSigma #' @return Mr double :: The Mr statistic defined by Lo and MacKinlay. #' mRatio <- 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) Mr <- (sigmaB / sigmaA) - 1 return(Mr) }
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