H_hat {rlfsm}R Documentation

Statistical estimator of H in high/low frequency setting

Description

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

Usage

H_hat(p, k, path)

Arguments

p

power

k

increment order

path

sample path of lfsm on which the inference is to be performed

References

Mazur S, Otryakhin D, Podolskij M (2018). “Estimation of the linear fractional stable motion.” Aarhus University.


[Package rlfsm version 1.0.0 Index]