nse: Computation of numerical standard errors in R
| Résumé |
nse is an R package (R Core Team (2016)) 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 estimators,
including batch means estimators (Geyer (1992 Section 3.2)),
initial sequence estimators (Geyer (1992 Equation 3.3)), spectrum
at zero estimators (Heidelberger and Welch (1981),Flegal and Jones
(2010)), heteroskedasticity and autocorrelation consistent (HAC)
kernel estimators (Newey and West (1987),Andrews (1991),Andrews and
Monahan (1992),Newey and West (1994),Hirukawa (2010)), and bootstrap
estimators Politis and Romano (1992),Politis and Romano
(1994),Politis and White (2004)). |
| Mots-clés |
Bootstrap, GARCH, HAC kernel, numerical standard error (NSE), spectral density |
| Citation | Ardia, D., & Bluteau, K. (2017). nse: Computation of numerical standard errors in R. Journal of Open Source Software, 10(2), 1-1. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2-2017 |
| Nom du périodique | Journal of Open Source Software |
| Volume | 10 |
| Numéro | 2 |
| Pages | 1-1 |
| URL | http://dx.doi.org/10.21105/joss.00172 |