tsapp (version 1.0.4)

mfraccheck: multifractal check mfraccheck computes the absolute empirical moments of the differenced series for various lags and moment orders. E.g. for lag = 3 and moment order = 1 the average absolute value of the differences with lag 3 will be computed. By default, the maximum lag is determined so that the differenced series contains at lest 50 observations.

Description

multifractal check mfraccheck computes the absolute empirical moments of the differenced series for various lags and moment orders. E.g. for lag = 3 and moment order = 1 the average absolute value of the differences with lag 3 will be computed. By default, the maximum lag is determined so that the differenced series contains at lest 50 observations.

Usage

mfraccheck(p, q_max)

Arguments

p

the series

q_max

maximum moment order

Value

out list with components:

moments

matrix with lagmax raws and q_max columns containing the values of the absolute empirical moments

lagmax

the maximum lag for differencing

Examples

# NOT RUN {
data(NIKKEI)
p <- NIKKEI
out <- mfraccheck(log(p),5)
mom <- ts(out$moments,start=1)
ts.plot(mom, log ="xy",xlab="lag",ylab="abs. empirical moments", lty=c(1:5)) 
# }