Simulations and Statistical Inference for Linear Fractional Stable Motions
Function a_p.
Creates the corresponding value from the paper by Stoev and Taqqu (200...
Statistical estimator for alpha
Parameter estimation procedure in continuous case.
High frequency estimation procedure for lfsm.
Low frequency estimation procedure for lfsm.
Statistical estimator of H in high/low frequency setting
Function h_kr
Higher order increments
m(-p,k)
Numerical properties of statistical estimators operating on the linear...
Alpha-norm of an arbitrary function
Generator of linear fractional stable motion
Path array generator
Generator of a set of lfsm paths.
Phi
Inverse alpha estimator
(alpha,H,sigma)- density plot
Rendering of path lattice
A function to plot variance- and bias dependencies of estimators on th...
R high /low
Retrieve statistics(bias, variance) of estimators based on a set of pa...
Statistic V
Statistical estimator for sigma
Function theta
alpha norm of u*g
alpha-norm of ug + vh.
A dependence structure of 2 random variables.
Contains functions for simulating the linear fractional stable motion according to the algorithm developed by Mazur and Otryakhin <doi:10.32614/RJ-2020-008> based on the method from Stoev and Taqqu (2004) <doi:10.1142/S0218348X04002379>, as well as functions for estimation of parameters of these processes introduced by Mazur, Otryakhin and Podolskij (2018) <arXiv:1802.06373>, and also different related quantities.