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Computation of numerical standard errors in R
nse (Ardia
and Bluteau, 2017) is an R package for computing the numerical
standard error (NSE), an estimate of the standard deviation of a
simulation result, if the simulation experiment were to be repeated many
times. The package provides a set of wrappers around several R packages,
which give access to more than thirty NSE estimators, including batch
means estimators, initial sequence estimators, spectrum at zero
estimators, heteroskedasticity and autocorrelation consistent (HAC)
kernel estimators and bootstrap estimators. See Ardia and Bluteau (2017)
for details. The full set of methods available in nse is
summarized in Ardia et
al. (2018) together with several examples of applications in
econometrics and finance.
The latest stable version of nse is available at https://cran.r-project.org/package=nse.
The latest development version of nse is available at https://github.com/keblu/nse.
By using nse you agree to the following rules:
nse.nse: https://CRAN.R-project.org/package=nse.nse.Ardia, D., Bluteau, K., Hoogerheide, L.F. (2018).
Methods for computing numerical standard errors: Review and application
to Value-at-Risk estimation.
Journal of Time Series Econometrics 10(2) pp
1-9.
https://doi.org/10.1515/jtse-2017-0011
https://doi.org/10.2139/ssrn.2741587
Ardia, D., Bluteau, K. (2017).
nse: Computation of numerical standard errors in R.
Journal of Open Source Software 10(2).
https://doi.org/10.21105/joss.00172
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.