Supplement 1. R code to compute nonparametric estimates of drift, total sigma, diffusion, jump intensity, and jump magnitude for a univariate time series supplied by the user.

File List Bandi4d.r Description Bandi4d.r contains R code to compute nonparametric estimates of drift, total sigma, diffusion, jump intensity and jump magnitude for a univariate time series supplied by the user. Comment lines specify the inputs to the function and the outputs from the function. The code may be called from an R program as an external function, or it may be placed in-line within a R program.