H_hat {rlfsm} | R Documentation |
The statistic is defined as
\widehat{H}_{\textnormal{high}} (p,k)_n:= \frac 1p \log_2 R_{\textnormal{high}} (p,k)_n, \qquad \widehat{H}_{\textnormal{low}} (p,k)_n:= \frac 1p \log_2 R_{\textnormal{low}} (p,k)_n
H_hat(p, k, path)
p |
power |
k |
increment order |
path |
sample path of lfsm on which the inference is to be performed |
Mazur S, Otryakhin D, Podolskij M (2018). “Estimation of the linear fractional stable motion.” Aarhus University.