Simulations and Statistical Inference for Linear Fractional Stable Motions

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Documentation for package ‘rlfsm’ version 1.0.0

Help Pages

alpha_hat Statistical estimator for alpha
a_p Function a_p.
a_tilda Creates the corresponding value from the paper by Stoev and Taqqu (2004).
CLT The function explores numerical properties of statistical estimators operating on random processes. Deprecated.
ContinEstim Parameter estimation procedure in continuous case.
GenHighEstim High frequency estimation procedure for lfsm.
GenLowEstim Low frequency estimation procedure for lfsm.
H_hat Statistical estimator of H in high/low frequency setting
h_kr Function h_kr
increment Higher order increments
increments Higher order increments
MCestimLFSM Numerical properties of statistical estimators operating on the linear fractional stable motion.
MinContrastEstim Statistical estimator of sigma, alpha and H in low frequency setting based on minimal contrast estimation comparing the empirical characteristic function with the true one
m_pk m(-p,k)
Norm_alpha Alpha-norm of an arbitrary function
path Generator of linear fractional stable motion
paths Generator of a set of lfsm paths.
Path_array Path array generator
phi Phi
phi_of_alpha Inverse alpha estimator
Plot_dens (alpha,H,sigma)- density plot
Plot_list_paths Rendering of path lattice
Plot_vb A function to plot variance- and bias dependencies of estimators on the lengths of sample paths. Works in conjunction with 'MCestimLFSM' function.
Retrieve_stats Retrieve statistics(bias, variance) of estimators based on a set of paths
R_hl R high /low
sf Statistic V
sigma_hat Statistical estimator for sigma
theta Function of the form theta(g,h)_{p} = a_p^{-2} \int_{\R^2} |xy|^{-1-p}U_{g,h}(x,y) dxdy
U_g alpha norm of u*g
U_gh alpha-norm of u*g + v*h.
U_ghuv A dependence structure of 2 random variables.