phi {rlfsm} | R Documentation |
Defined as
\varphi_{\textnormal{high}}(t; H,k)_n := V_{\textnormal{high}}(ψ_t; k)_n \qquad \textnormal{and} \qquad \varphi_{\textnormal{low}}(t; k)_n := V_{\textnormal{low}}(ψ_t; k)_n
, where ψ_t(x):=cos(tx)
phi(t, k, path, H, freq)
t |
positive real number |
k |
increment order |
path |
sample path of lfsm on which the inference is to be performed |
H |
Hurst parameter |
freq |
Frequency of the motion. It can take two values: "H" for high frequency and "L" for the low frequency setting. |
Hurst parameter is required only in high frequency case. In the low frequency, there is no need to assign H a value because it will not be evaluated.
Mazur S, Otryakhin D, Podolskij M (2018). “Estimation of the linear fractional stable motion.” Aarhus University.