H

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.