Partial Cointegration


[Up] [Top]

Documentation for package ‘partialCI’ version 1.2.0

Help Pages

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