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nse

nse: Computation of Numerical Standard Errors in R - Published in JOSS (2017)

https://github.com/keblu/nse

Science Score: 93.0%

This score indicates how likely this project is to be science-related based on various indicators:

  • ○
    CITATION.cff file
  • ✓
    codemeta.json file
    Found codemeta.json file
  • ✓
    .zenodo.json file
    Found .zenodo.json file
  • ✓
    DOI references
    Found 21 DOI reference(s) in README and JOSS metadata
  • ○
    Academic publication links
  • ○
    Committers with academic emails
  • ○
    Institutional organization owner
  • ✓
    JOSS paper metadata
    Published in Journal of Open Source Software

Keywords

econometrics hac nse package r

Keywords from Contributors

covariance portfolio portfolio-optimization
Last synced: 6 months ago · JSON representation

Repository

Offers mutliple ways to calculate numerical standard errors (NSE) of univariate (or multivariate in some cases) time series.

Basic Info
  • Host: GitHub
  • Owner: keblu
  • Language: R
  • Default Branch: master
  • Size: 1.19 MB
Statistics
  • Stars: 0
  • Watchers: 2
  • Forks: 0
  • Open Issues: 0
  • Releases: 1
Topics
econometrics hac nse package r
Created over 9 years ago · Last pushed over 3 years ago
Metadata Files
Readme Changelog Contributing

README.md

nse

Computation of numerical standard errors in R

nse (Ardia and Bluteau, 2017) is an R package for computing the numerical standard error (NSE), an estimate of the standard deviation of a simulation result, if the simulation experiment were to be repeated many times. The package provides a set of wrappers around several R packages, which give access to more than thirty NSE estimators, including batch means estimators, initial sequence estimators, spectrum at zero estimators, heteroskedasticity and autocorrelation consistent (HAC) kernel estimators and bootstrap estimators. See Ardia and Bluteau (2017) for details. The full set of methods available in nse is summarized in Ardia et al. (2018) together with several examples of applications in econometrics and finance.

The latest stable version of nse is available at https://cran.r-project.org/package=nse.

The latest development version of nse is available at https://github.com/keblu/nse.

Please cite the package in publications!

By using nse you agree to the following rules:

1) You must cite Ardia et al. (2018) in working papers and published papers that use nse. 2) You must place the following URL in a footnote to help others find nse: https://CRAN.R-project.org/package=nse. 3) You assume all risk for the use of nse.

Ardia, D., Bluteau, K., Hoogerheide, L.F. (2018).
Methods for computing numerical standard errors: Review and application to Value-at-Risk estimation.
Journal of Time Series Econometrics 10(2) pp 1-9.
https://doi.org/10.1515/jtse-2017-0011 https://doi.org/10.2139/ssrn.2741587

Ardia, D., Bluteau, K. (2017).
nse: Computation of numerical standard errors in R.
Journal of Open Source Software 10(2).
https://doi.org/10.21105/joss.00172

Owner

  • Name: Keven Bluteau
  • Login: keblu
  • Kind: user

JOSS Publication

nse: Computation of Numerical Standard Errors in R
Published
February 04, 2017
DOI
Volume 2, Issue 10, Page 172
Authors
David Ardia ORCID
Institute of Financial Analysis - University of Neuchâtel
Keven Bluteau
Institute of Financial Analysis - University of Neuchâtel
Editor
Arfon Smith ORCID
Tags
nse numerical standard error simulation MCMC HAC bootstrap
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GitHub Events

Total
Last Year

Committers

Last synced: 7 months ago

All Time
  • Total Commits: 57
  • Total Committers: 5
  • Avg Commits per committer: 11.4
  • Development Distribution Score (DDS): 0.333
Past Year
  • Commits: 0
  • Committers: 0
  • Avg Commits per committer: 0.0
  • Development Distribution Score (DDS): 0.0
Top Committers
Name Email Commits
ardiad d****h@g****m 38
Keven Bluteau k****u@u****h 13
Keven Bluteau K****1@u****a 3
ArdiaD d****a@f****a 2
Arfon Smith a****n 1
Committer Domains (Top 20 + Academic)
fsa.ulaval.ca: 1 ulaval.ca: 1 unine.ch: 1

Issues and Pull Requests

Last synced: 6 months ago

All Time
  • Total issues: 7
  • Total pull requests: 1
  • Average time to close issues: 21 days
  • Average time to close pull requests: about 2 hours
  • Total issue authors: 2
  • Total pull request authors: 1
  • Average comments per issue: 1.29
  • Average comments per pull request: 4.0
  • Merged pull requests: 1
  • Bot issues: 0
  • Bot pull requests: 0
Past Year
  • Issues: 0
  • Pull requests: 0
  • Average time to close issues: N/A
  • Average time to close pull requests: N/A
  • Issue authors: 0
  • Pull request authors: 0
  • Average comments per issue: 0
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
View more stats
Top Authors
Issue Authors
  • ArdiaD (6)
  • zeileis (1)
Pull Request Authors
  • arfon (1)
Top Labels
Issue Labels
enhancement (5) bug (1)
Pull Request Labels

Packages

  • Total packages: 1
  • Total downloads:
    • cran 392 last-month
  • Total docker downloads: 21,154
  • Total dependent packages: 1
  • Total dependent repositories: 0
  • Total versions: 5
  • Total maintainers: 1
cran.r-project.org: nse

Numerical Standard Errors Computation in R

  • Versions: 5
  • Dependent Packages: 1
  • Dependent Repositories: 0
  • Downloads: 392 Last month
  • Docker Downloads: 21,154
Rankings
Downloads: 27.5%
Forks count: 28.8%
Dependent packages count: 29.8%
Average: 31.4%
Stargazers count: 35.2%
Dependent repos count: 35.5%
Maintainers (1)
keven.bluteau@usherbrooke.ca
Last synced: 6 months ago

Dependencies

DESCRIPTION cran
  • Rcpp >= 0.12.0 imports
  • coda * imports
  • mcmc * imports
  • mcmcse * imports
  • np * imports
  • sandwich * imports
  • testthat * suggests