#' @title Given a log price process, X, compute the Z-score which can be used | |
#' to accept or reject the hypothesis that the process evolved according to a | |
#' Brownian Motion model with drift and stochastic volatility. | |
#' | |
#' @description Given a log price process, X, and a sampling interval, q, this | |
#' method returns a Z score indicating the confidence we have that X evolved | |
#' according to a Brownian Motion mode with drift and stochastic volatility. This | |
#' heteroskedasticity-consistent variance ratio test essentially checks to see | |
#' whether or not the observed Mr statistic for the number of observations, is | |
#' within or out of the limiting distribution defined by the Asymptotic Variance. | |
#' | |
#' @param X vector :: A log price process. | |
#' @param q int :: The sampling interval for the estimator. | |
#' | |
VRTestZScore <- function(X, q) { | |
n <- floor(length(X)/q) | |
z <- sqrt(n * q) * mRatio(X, q) | |
z <- z / sqrt(calibrateAsymptoticVariance(X, q)) | |
return(z) | |
} |
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