partialCI-package |
Partial Cointegration |
fit.pci |
Fits the partial cointegration model to a collection of time series |
hedge.pci |
Searches for a partially cointegrated hedge for a given time series |
likelihood_ratio.pci |
Computes the likelihood ratio of the partially cointegrated model vs the null model |
loglik.pci |
Computes the log likelihood of a partially cointegrated model |
multigetYahooPrices |
Fetches closing prices of multiple stock tickers |
partialCI |
Partial Cointegration |
rpci |
Generates a random instance of a partial cointegration model |
statehistory.pci |
Generates the sequence of inferred states of a partial cointegration model |
test.pci |
Tests the goodness of fit of a partial cointegration model |
yfit.pci |
Fetch series from Yahoo and perform a partial cointegration fit. |
yhedge.pci |
Hedge portfolio for a stock price series |