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December 2021 update #1

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hkalager opened this issue Dec 21, 2021 · 0 comments

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hkalager commented Dec 21, 2021

The scripts were revisited to make sure all codes run smoothly. List of changes:

Also 15-minute, 30-minute, and 65-minute CSV files were added in the folder "Dataset_ETFS"
Ability to run the same results for M=26, and 6 as in the revised working paper by setting "freq=15" or 30 or 65
The histogramme in step2 is replaced by a box plot for simplicity and better readability in the draft.
RSW method kStepM is replaced by kStepM-FDP as mentioned in RSW (2008).

hkalager added the documentation label

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