One can now use exogenous regressors when fitting ACD models using
acdFit(). See the function's help page.
Fixed a bug in the internal C functions getLL_ACDcall, getLL_LACD1call, and getLL_LACD2call that unabled estimating ACD(p, q), LACD1(p, q), and LACD2(p, q) models when p differed from q.
Changed how the
trace argument inside the
control list in the
acdFit() function works. It will now plot the MLE search path, recorded as the parameter values each time the optimization function calls the log likelihood.
The examples were set to "dontrun" for a few of the functions.
Changed the format of the time columns in the example data
adjDurData from POSIXlt to character strings. The time zone feature of the POSIXlt format made some of the examples to fail in other time zones - preventing the package to be installed from source within those time zones.
The function now works properly for sub-second precision.
Fixed bug where the duration of the second transaction of a day would sometimes be calculated as the duration from the opening time
Fixed bug where the last duration would sometimes not be added.
Having only one of the price/volume column should not work.
Now checks if any negative durations were computed - if so, checks that the data were given in chronological order.
method = "cubicSpline": now checks if the time stamps of the durations are within the range of the