H_hat

The statistic is defined as
$$\widehat{H}_{\textnormal{high}} (p,k)_n:= \frac 1p \log_2 R_{\textnormal{high}} (p,k)_n,
\qquad \widehat{H}_{\textnormal{low}} (p,k)_n:= \frac 1p \log_2 R_{\textnormal{low}} (p,k)_n$$

Contains functions for simulating the linear fractional stable motion according to the algorithm developed by Mazur and Otryakhin <doi:10.32614/RJ-2020-008> based on the method from Stoev and Taqqu (2004) <doi:10.1142/S0218348X04002379>, as well as functions for estimation of parameters of these processes introduced by Mazur, Otryakhin and Podolskij (2018) <arXiv:1802.06373>, and also different related quantities.

Dmitry Otryakhin

rlfsm

Simulations and Statistical Inference for Linear Fractional
Stable Motions

Stepan Mazur

Mathias Ljungdahl

H_hat function

<dl><dt>p</dt>
<dd>power</dd>
<dt>k</dt>
<dd>increment order</dd>
<dt>path</dt>
<dd>sample path of lfsm on which the inference is to be performed</dd></dl>

Arguments

Statistical estimator of H in high/low frequency setting — H_hat

<dl>

<dt>p</dt>
<dd>power</dd>


<dt>k</dt>
<dd>increment order</dd>


<dt>path</dt>
<dd>sample path of lfsm on which the inference is to be performed</dd>

</dl>

H_hat: Statistical estimator of H in high/low frequency setting

Description

Usage

Arguments

References