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.

文件列表Bandi4d.r 说明
Bandi4d.r 包含可用于计算用户提供的单变量时间序列（univariate time series）的漂移（drift）、总Sigma（total sigma）、扩散项（diffusion）、跳跃强度（jump intensity）与跳跃幅度（jump magnitude）的非参数估计（nonparametric estimates）的R代码。代码中的注释行明确说明了该函数的输入参数与输出结果。该代码既可作为外部函数从R程序中调用，也可内嵌于R程序内使用。