The functions pin(), pin_*(),
mpin_ml(), mpin_ecm(), adjpin(),
vpin(), and aggregate_trades() accept now, for
their arguments data, datasets of type matrix.
In the previous version, it only accepted dataframes, which did not
allow users, for instance, to use rollapply() of the
package zoo.
Introduction of the function pin_bayes() that
estimates the original pin model using a bayesian approach as described
in Griffin et al.(2021).
Fixed an error in the function initials_pin_ea() as
it used to produce some parameter sets with negative values for trade
intensity rates. The negative trade intensity rates are set to
zero.
Fixed two errors in the function vpin(): (1) A bug
in the calculation steps of vpin (2) The argument verbose
does not work properly.
Fixed an issue with resetting the plan for the future
(future::plan) used for parallel processing.
NEWS.md file to track changes to the
package.