phi_of_alpha

A function from a general estimation procedure which is defined as m^p_-p'_k /m^p'_-p_k, originally proposed in [13].

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

phi_of_alpha function

<dl><dt>p</dt>
<dd>power</dd>
<dt>p_prime</dt>
<dd>power</dd>
<dt>alpha</dt>
<dd>self-similarity parameter of alpha stable random motion.</dd></dl>

Arguments

Inverse alpha estimator — phi_of_alpha

<dl>

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


<dt>p_prime</dt>
<dd>power</dd>


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

</dl>

phi_of_alpha: Inverse alpha estimator

Description

Usage

Arguments

References