Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7549648 | Statistics & Probability Letters | 2014 | 5 Pages |
Abstract
We propose a data-driven local linear estimator for diurnal patterns of transaction durations with a brief discussion on its asymptotics. The standardized durations are modeled by the EACD. Codes in R are developed for practical implementation. Application is illustrated by data examples.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yuanhua Feng,