Other packages > Find by keyword >

INFOSET  

Computing a New Informative Distribution Set of Asset Returns
View on CRAN: Click here


Download and install INFOSET package within the R console
Install from CRAN:
install.packages("INFOSET")

Install from Github:
library("remotes")
install_github("cran/INFOSET")

Install by package version:
library("remotes")
install_version("INFOSET", "4.1")



Attach the package and use:
library("INFOSET")
Maintained by
Gloria Polinesi
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2024-09-05
Latest Update: 2024-11-23
Description:
Estimation of the most-left informative set of gross returns (i.e., the informative set). The procedure to compute the informative set adjusts the method proposed by Mariani et al. (2022a) <doi:10.1007/s11205-020-02440-6> and Mariani et al. (2022b) <doi:10.1007/s10287-022-00422-2> to gross returns of financial assets. This is accomplished through an adaptive algorithm that identifies sub-groups of gross returns in each iteration by approximating their distribution with a sequence of two-component log-normal mixtures. These sub-groups emerge when a significant change in the distribution occurs below the median of the financial returns, with their boundary termed as the “change point" of the mixture. The process concludes when no further change points are detected. The outcome encompasses parameters of the leftmost mixture distributions and change points of the analyzed financial time series.
How to cite:
Gloria Polinesi (2024). INFOSET: Computing a New Informative Distribution Set of Asset Returns. R package version 4.1, https://cran.r-project.org/web/packages/INFOSET. Accessed 26 Aug. 2026.
Previous versions and publish date:
4.0.5 (2024-09-05 19:00), 4.0.6 (2024-09-06 15:00), 4.1 (2024-11-23 16:20), (2026-07-09 08:07)
Other packages that cited INFOSET R package
View INFOSET citation profile
Other R packages that INFOSET depends, imports, suggests or enhances
Complete documentation for INFOSET
Functions, R codes and Examples using the INFOSET R package
Full INFOSET package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

ncodeR  
Techniques for Automated Classifiers
A set of techniques that can be used to develop, validate, and implement automated classifiers. A po ...
Download / Learn more Package Citations See dependency  
PCADSC  
Tools for Principal Component Analysis-Based Data Structure Comparisons
A suite of non-parametric, visual tools for assessing differences in data structures for two datase ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
clinUtils  
General Utility Functions for Analysis of Clinical Data
Utility functions to facilitate the import, the reporting and analysis of clinical data. Example ...
Download / Learn more Package Citations See dependency  
SelvarMix  
Regularization for Variable Selection in Model-Based Clustering and Discriminant Analysis
Performs a regularization approach to variable selection in themodel-based clustering and classifica ...
Download / Learn more Package Citations See dependency  
RCytoGPS  
Using Cytogenetics Data in R
Defines classes and methods to process text-based cytogenetics using the CytoGPS web site, then imp ...
Download / Learn more Package Citations See dependency  

28,332

R Packages

239,283

Dependencies

75,113

Author Associations

28,333

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA