HA HB HC HD HE HF HG HH HI HJ HK HL HM HN HO HP HQ HR HS HT HU HV HW HX HY HZ

- hardauto
- Hardthresholds the mother wavelet coefficients b1 and b2 automatically by sqrt(2 sigma n). To compute the threshold value only b1 and x are used.
- hardthres
- Hardthresholds the mother wavelet coefficients b1 and b2 interactively. The user is a threshold offered by sqrt(2 sigma n). To compute the threshold value only b1 and x is used.
- harefit
- non-proportional hazards regression using linear splines. Its results are to be interpreted by haresummary and hareplot.
- haresummary
- summarizes the output of harefit (non-proportional hazards regression).
- hazard
- Nonparametric estimator of the hazard rate. The bandwidth parameter can be optionally chosen.
- hazbase
- calculates the baseline hazard and survival function, using the maximum likelihood estimate of the regression parameter beta obatined through hazbeta.
- hazbeta
- calculates the maximum likelihood estimate of the regression parameter beta in the Cox Proportional hazard model, by Newton-Raphson method.
- hazcoxb
- calculates the baseline hazard and survival function, using the maximum likelihood estimate of the regression parameter beta obatined through hazbeta.
- hazdat
- sorts the right-censored data of n individuals to prepare it for hazard regression analysis. The observed data are n triples (t_i,delta_i,z_i): t_i denotes the observed survival time of the i-th individual, delta_i is the censoring indicator, z_i denotes the p-dimensional covariate vector associate
- hazkpm
- estimates the survival function at the sorted observations of a right-censored data together with the Greenwood pointwise confidence intervals.
- haznar
- calculates the size of the risk set at each point of the censored survival time data.
- hazregll
- calculates derivatives up to order 2 of the log-likelihood function at parameter value beta
- hazregmain
- loads the quantlibs needed by the quantlets in the hazreg quantlib
- hazregtest
- Tests the quantlets of the hazreg library.
- hazrisk
- determines which observations are at risk at the time point t_i.
- hazsurv
- calculates the conditional survival function, using the maximum likelihood estimate of the regression parameter beta obatined through hazbeta.
- haztest
- calculates the value of the test statistic, the degree of freedom, and the P-value for the likelihood ratio test, Wald's test and the score test for Cox's Proportional Hazards model.
- heckman
- 2-step estimation of a regression equation in the presence of self-selection. Selection rule is of the probit type (hence, this is a Type 2 Tobit Model in chapter 10 of Amemiya's Advanced Econometrics).
- hegy
- Test procedure proposed by Hylleberg, Engle, Granger, Yoo (HEGY) for seasonal unit roots in quarterly time series. Deterministic components (constant, seasonal dummies and trend) can be included. The procedure renders a table with estimated coefficients and non-standard critical values given by HEG
- HestonCall
- calculates European call option prices in Heston model using FFT
- HestonCallMC
- calculates European call option prices in Heston model using Monte Carlo method.
- HestonPut
- calculates European call option prices in Heston model using FFT
- HestonVanilla
- calculates option price in Heston's stochastic volatility model.
- HestonVanillaFitSmile
- fits the Heston model to the FX market implied volatility smile.
- HestonVanillaInt
- auxiliary quantlet used by HestonVanilla.
- HestonVanillaSmile
- determines the volatility smile implied by the Heston model.
- HestonVanillaSSE
- auxiliary function used by HestonVanillaFitSmile, computes the sum of squared errors (SSE) between the market and model implied volatilities.
- hgen
- auxiliary quantlet for full VAR model analysis
- hgenrr
- Generation of H for the Reduced Rank VAR Model
- hhmult
- hhmult calculates the H-H statistic to jointly test the specification of the link functions of a polychotomous response model (such as the conditional logit model or the multinomial logit model)
- hhtest
- hhtest calculates the H-H statistic to test the specification of the link function of a generalized linear model (such as the logit or probit model), assuming the index is correctly specified.
- highepa
- highepa computes the multivariate higher order kernel derived from the epanechnikov kernel
- highgau
- highgau computes the multivariate higher order kernel derived from the gaussian kernel
- hill
- Estimates the tail index of fat-tailed distributions
- hillgp1
- Hill estimator for the GP1 model.
- hillgp1diag
- Vector of Hill estimator for GP1 model
- hinesplot
- computes the Hines & Hines plot for a fixed p and a set of quantiles.
- hls2rgb
- converts an HLS colour vector into an RGB vector.
- hour
- returns the hour as a string
- hurst
- estimates the Hurst coefficient of a stochastic process using the R/S statistic.

(C) MD*TECH Method and Data Technologies, 05.02.2006 | Impressum |