[Blotter-commits] r975 - pkg/RTAQ/man

[noreply at r-forge.r-project.org]

Author: kboudt
Date: 2012-03-15 21:15:05 +0100 (Thu, 15 Mar 2012)
New Revision: 975

Modified:
   pkg/RTAQ/man/RTSCov.rd
   pkg/RTAQ/man/TSCov.rd
Log:
added documentation


Modified: pkg/RTAQ/man/RTSCov.rd
===================================================================
--- pkg/RTAQ/man/RTSCov.rd	2012-03-15 18:03:42 UTC (rev 974)
+++ pkg/RTAQ/man/RTSCov.rd	2012-03-15 20:15:05 UTC (rev 975)
@@ -15,7 +15,8 @@
 
 \usage{
 RTSCov(pdata, cor=FALSE, startIV=NULL, noisevar = NULL, 
-       K = 300 , J = 1,  eta = 9, makePsd = FALSE)
+       K = 300 , J = 1, K_cov = NULL , J_cov = NULL,
+        K_var = NULL , J_var = NULL, eta = 9, makePsd = FALSE)
 }
  
 \arguments{
@@ -27,6 +28,11 @@
 \item{noisevar}{ vector containing the estimates of the noise variance of the assets, needed in the truncation. Is NULL by default.}
 \item{K}{positive integer, slow time scale returns are computed on prices that are K steps apart.}
 \item{J}{positive integer, fast time scale returns are computed on prices that are J steps apart.}
+\item{K_cov}{positive integer, for the extradiagonal covariance elements the slow time scale returns are computed on prices that are K steps apart.}
+\item{J_cov}{positive integer, for the extradiagonal covariance elements the fast time scale returns are computed on prices that are J steps apart.}
+\item{K_var}{vector of positive integers, for the diagonal variance elements the slow time scale returns are computed on prices that are K steps apart.}
+\item{J_var}{vector of positive integers, for the diagonal variance elements the fast time scale returns are computed on prices that are J steps apart.}
+\item{makePsd}{ boolean, in case it is TRUE, the positive definite version of RTSCov is returned. FALSE by default.}
 \item{eta}{positive real number, squared standardized high-frequency returns that exceed eta are detected as jumps.}
 \item{makePsd}{ boolean, in case it is TRUE, the positive definite version of RTSCov is returned. FALSE by default.}
 }

Modified: pkg/RTAQ/man/TSCov.rd
===================================================================
--- pkg/RTAQ/man/TSCov.rd	2012-03-15 18:03:42 UTC (rev 974)
+++ pkg/RTAQ/man/TSCov.rd	2012-03-15 20:15:05 UTC (rev 975)
@@ -13,7 +13,8 @@
 
 
 \usage{
-TSCov(pdata, cor=FALSE, K = 300 , J = 1,  makePsd = FALSE);
+TSCov(pdata, cor=FALSE, K = 300 , J = 1,  K_cov = NULL , J_cov = NULL,
+    K_var = NULL , J_var = NULL, makePsd = FALSE);
 }
  
 \arguments{
@@ -22,6 +23,10 @@
 \item{cor}{ boolean, in case it is TRUE, the correlation is returned. FALSE by default.}
 \item{K}{positive integer, slow time scale returns are computed on prices that are K steps apart.}
 \item{J}{positive integer, fast time scale returns are computed on prices that are J steps apart.}
+\item{K_cov}{positive integer, for the extradiagonal covariance elements the slow time scale returns are computed on prices that are K steps apart.}
+\item{J_cov}{positive integer, for the extradiagonal covariance elements the fast time scale returns are computed on prices that are J steps apart.}
+\item{K_var}{vector of positive integers, for the diagonal variance elements the slow time scale returns are computed on prices that are K steps apart.}
+\item{J_var}{vector of positive integers, for the diagonal variance elements the fast time scale returns are computed on prices that are J steps apart.}
 \item{makePsd}{ boolean, in case it is TRUE, the positive definite version of RTSCov is returned. FALSE by default.}
 }