Tools for Autoregressive Conditional Duration Models


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Documentation for package ‘ACDm’ version 1.0.4

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ACDm-package ACD Modelling
acdFit ACD (Autoregressive Conditional Duration) Model Fitting
acdFit-methods Methods for class acdFit
ACDm ACD Modelling
acf_acd Autocorrelation function plots for ACD models
adjDurData Time Series Data Sets
BurrDist The Burr Distribution
burrExpectation The Burr Distribution
coef.acdFit Methods for class acdFit
computeDurations Durations computation
DataFiles Time Series Data Sets
dburr The Burr Distribution
defaultSplineObj Time Series Data Sets
dgenf The generalized F distribution
dgengamma The generelized Gamma distribution
Discreetly mixed Q-Weibull and exponential Discreet mix of the q-Weibull and the exponential distributions
Discreetly mixed Q-Weibull and ordinary Weibull Discreet mix of the q-Weibull and the ordinary Weibull distributions
diurnalAdj Dirunal adjustment for durations
dmixinvgauss Finite mixture of inverse Gaussian Distribution
dmixqwe Discreet mix of the q-Weibull and the exponential distributions
dmixqww Discreet mix of the q-Weibull and the ordinary Weibull distributions
dqweibull The q-Weibull distribution
durData Time Series Data Sets
Finite mixture of inverse Gaussian Distributions Finite mixture of inverse Gaussian Distribution
GeneralizedGammaDist The generelized Gamma distribution
genfHazard The generalized F distribution
gengammaHazard The generelized Gamma distribution
mixinvgaussHazard Finite mixture of inverse Gaussian Distribution
mixqweHazard Discreet mix of the q-Weibull and the exponential distributions
mixqwwHazard Discreet mix of the q-Weibull and the ordinary Weibull distributions
pburr The Burr Distribution
pgenf The generalized F distribution
pgengamma The generelized Gamma distribution
plotDescTrans Transactions plots
plotHazard Hazard function plot
plotHistAcd Mean duration plot
plotLL Plots the response surface of the log likelihood of a fitted model.
plotRollMeanAcd Plots rolling means of durations
plotScatterAcd Scatter plot for ACD models
pmixinvgauss Finite mixture of inverse Gaussian Distribution
pmixqwe Discreet mix of the q-Weibull and the exponential distributions
pmixqww Discreet mix of the q-Weibull and the ordinary Weibull distributions
pqweibull The q-Weibull distribution
predict.acdFit Methods for class acdFit
print.acdFit Methods for class acdFit
qburr The Burr Distribution
qgengamma The generelized Gamma distribution
qqplotAcd Quantile-Quantile plot of the residuals
qqweibull The q-Weibull distribution
qWeibullDist The q-Weibull distribution
qweibullExpectation The q-Weibull distribution
qweibullHazard The q-Weibull distribution
rburr The Burr Distribution
resiDensityAcd Residual Density Histogram
residuals.acdFit Methods for class acdFit
rgengamma The generelized Gamma distribution
rqweibull The q-Weibull distribution
sim_ACD ACD simulation
standardizeResi Residual standardization
testRmACD LM test of no Remaining ACD (Meitz and Terasvirta, 2006)
testSTACD LM test against Smooth Transition ACD models (Meitz and Terasvirta, 2006)
testTVACD LM test against Time-Varying ACD models (Meitz and Terasvirta, 2006)
transData Time Series Data Sets