CRAN

xdcclarge 0.1.0

Estimating a (c)DCC-GARCH Model in Large Dimensions

Released Jul 12, 2018 by Kei Nakagawa

This package can be loaded by Renjin but all tests failed.

Dependencies

RcppArmadillo 0.9.100.5.0 nlshrink 1.0.1 Rcpp

Functions for Estimating a (c)DCC-GARCH Model in large dimensions based on a publication by Engle et,al (2017) and Nakagawa et,al (2018) . This estimation method is consist of composite likelihood method by Pakel et al. (2014) and (Non-)linear shrinkage estimation of covariance matrices by Ledoit and Wolf (2004,2015,2016). (, , ).

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>xdcclarge</artifactId>
    <version>0.1.0-b2</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:xdcclarge')

Test Results

This package was last tested against Renjin 0.9.2689 on Aug 26, 2018.

Source

C++

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Release History

0.1.0