mfraccheck function

multifractal check mfraccheck computes the absolute empirical moments of the differenced series for various lags and moment orders. E.g. for lag = 3 and moment order = 1 the average absolute value of the differences with lag 3 will be computed. By default, the maximum lag is determined so that the differenced series contains at lest 50 observations.

mfraccheck(p, q_max)

Arguments

• p: the series
• q_max: maximum moment order

Returns

out list with components: - moments: matrix with lagmax raws and q_max columns containing the values of the absolute empirical moments

• lagmax: the maximum lag for differencing

Examples

data(NIKKEI)
p <- NIKKEI
out <- mfraccheck(log(p),5)
mom <- ts(out$moments,start=1)
ts.plot(mom, log ="xy",xlab="lag",ylab="abs. empirical moments", lty=c(1:5))