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rlfsm (version 1.1.2)

Simulations and Statistical Inference for Linear Fractional Stable Motions

Description

Contains functions for simulating the linear fractional stable motion according to the algorithm developed by Mazur and Otryakhin based on the method from Stoev and Taqqu (2004) , as well as functions for estimation of parameters of these processes introduced by Mazur, Otryakhin and Podolskij (2018) , and also different related quantities.

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Version

Install

install.packages('rlfsm')

Monthly Downloads

221

Version

1.1.2

License

GPL-3

Maintainer

Dmitry Otryakhin

Last Published

August 27th, 2022

Functions in rlfsm (1.1.2)

(alpha,H,sigma)- density plot

Statistical estimator for alpha

Creates the corresponding value from the paper by Stoev and Taqqu (2004).

Path array generator

Inverse alpha estimator

A dependence structure of 2 random variables.

Statistical estimator for sigma

Retrieve statistics(bias, variance) of estimators based on a set of paths

Higher order increments

Generator of linear fractional stable motion

Generator of a set of lfsm paths.

Parameter estimation procedure in continuous case.

Alpha-norm of an arbitrary function

Plot_list_paths

Rendering of path lattice

Statistical estimator of H in high/low frequency setting

Numerical properties of statistical estimators operating on the linear fractional stable motion.

High frequency estimation procedure for lfsm.

Low frequency estimation procedure for lfsm.

A function to plot variance- and bias dependencies of estimators on the lengths of sample paths. Works in conjunction with MCestimLFSM function.

alpha-norm of u*g + v*h.

alpha norm of u*g