h_kr {rlfsm} | R Documentation |
Function h_{k,r}: R \to R is given by
h_{k,r} (x) = ∑_{j=0}^k (-1)^j {{k}\choose{j}} (x-rj)_+^{H-1/α}, \ \ \ x\in R
h_kr(k, r, x, H, alpha, l = 0)
k |
order of the increment, a natural number |
r |
difference step, a natural number |
x |
real number |
H |
Hurst parameter |
alpha |
self-similarity parameter of alpha stable random motion. |
l |
a value by which we shift x. Is used for computing function f_.+l and is passed to integrate function. |
Mazur S, Otryakhin D, Podolskij M (2018). “Estimation of the linear fractional stable motion.” Aarhus University.
#### Plot h_kr #### s<-seq(0,10, by=0.01) h_val<-sapply(s,h_kr, k=5, r=1, H=0.3, alpha=1) plot(s,h_val)