The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
Estimation of the most-left informative set of gross returns (i.e., the informative set). The procedure to compute the informative set adjusts the method proposed by Mariani et al. (2022a) <doi:10.1007/s11205-020-02440-6> and Mariani et al. (2022b) <doi:10.1007/s10287-022-00422-2> to gross returns of financial assets. This is accomplished through an adaptive algorithm that identifies sub-groups of gross returns in each iteration by approximating their distribution with a sequence of two-component log-normal mixtures. These sub-groups emerge when a significant change in the distribution occurs below the median of the financial returns, with their boundary termed as the “change point" of the mixture. The process concludes when no further change points are detected. The outcome encompasses parameters of the leftmost mixture distributions and change points of the analyzed financial time series.
Version: | 4.0.6 |
Depends: | R (≥ 2.10) |
Imports: | Matrix, colorspace, dendextend, quadprog, mixtools, stats, graphics |
Suggests: | testthat (≥ 3.0.0) |
Published: | 2024-09-06 |
DOI: | 10.32614/CRAN.package.INFOSET |
Author: | Gloria Polinesi [aut, cre], Francesca Mariani [aut], Maria Cristina Recchioni [aut] |
Maintainer: | Gloria Polinesi <g.polinesi at staff.univpm.it> |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: | no |
CRAN checks: | INFOSET results |
Reference manual: | INFOSET.pdf |
Package source: | INFOSET_4.0.6.tar.gz |
Windows binaries: | r-devel: INFOSET_4.0.6.zip, r-release: INFOSET_4.0.6.zip, r-oldrel: INFOSET_4.0.6.zip |
macOS binaries: | r-release (arm64): INFOSET_4.0.6.tgz, r-oldrel (arm64): INFOSET_4.0.6.tgz, r-release (x86_64): INFOSET_4.0.6.tgz, r-oldrel (x86_64): INFOSET_4.0.6.tgz |
Old sources: | INFOSET archive |
Please use the canonical form https://CRAN.R-project.org/package=INFOSET to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.