Keywords - Function Groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

## H

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.

Keywords - Function Groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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