a_tilda

a_tilda triggers a_tilda_cpp which is written in C++ and essentially
performs the computation of the value.

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

a_tilda function

<dl><dt>N</dt>
<dd>a number of points of the lfsm.</dd>
<dt>m</dt>
<dd>discretization. A number of points between two nearby motion points</dd>
<dt>M</dt>
<dd>truncation parameter. A number of points at which the integral representing the definition of lfsm is calculated. So, after M points back we consider the rest of the integral to be 0.</dd>
<dt>alpha</dt>
<dd>self-similarity parameter of alpha stable random motion.</dd>
<dt>H</dt>
<dd>Hurst parameter</dd></dl>

Arguments

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

<dl>

<dt>N</dt>
<dd>a number of points of the lfsm.</dd>


<dt>m</dt>
<dd>discretization. A number of points between two nearby motion points</dd>


<dt>M</dt>
<dd>truncation parameter. A number of points at which the integral representing the definition of lfsm is calculated. So, after M points back we consider the rest of the integral to be 0.</dd>


<dt>alpha</dt>
<dd>self-similarity parameter of alpha stable random motion.</dd>


<dt>H</dt>
<dd>Hurst parameter</dd>

</dl>

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

Description

Usage

Arguments

References