Directory of Open Source for Quantitative Finance and Trading
Username: Password: Not registered?
 
Quick Search:    (AJAX based: No need to press button)

Main : SPlus : 


Category: SPlus View Full Details
Download Now!Allan Variance
Submitter: lucvalentino Date: 2007/9/19
Description:
This is a short code in S-Plus to calculate the Allan Variance on a data set.It's useful for stationary analysis.

Got a question or problem with this link? Just enter your message and click on submit. No registration is required.

Note: A copy of this message will also be emailed to the submitter of this link
Downloaded 543 times  543  File Size 0 bytes  Supported Platforms S-Plus  Home Page http://www.quantcode.com/
Rating: 0.00 (0 votes)
Rate this File | Modify | Delete | Report Broken File | Tell a Friend | Comments (7)

Discuss this file. Just enter your message and click on submit. No registration is required.
Similar Links:
Covariance matrix (Forum)
Variance Swap Pricing (Software)
Covariance does not match (Forum)
Variance of brownian motion path (Forum)
Hedging Options On Variance (Paper)

Subscribe to RSS or daily email updates of latest quantitative finance code listings
Email address :
Copyright © 2011 QuantCode Inc. All rights reserved.